You can't realistically run your own broker. It's enormously expensive, and also no one would trust it, or even know it exists. You have to connect to the bsky broker. Which means bluesky controls the network, and you have to have their permission to join it.
This breaks one of the core, but often unstated assumptions people have about federated networks: that they are permission-less.
And that ultimately is also why I don't view bsky with much optimism. When they run out of venture cash, they will either go belly up or give up control of the broker to become a surveillance capital device.
And I think we know which one they'll choose.
Either way, the fate of the network is tied directly to the fate of the company. For all their talk about openness and federation and whatever, this fact is by design. It's their network, and neither can survive without the other.