The technical burdens include (but may not be limited to): making sure your DID is registered with a secure and sustainable registry that's not operated by your PDS; managing backups of your entire account history on your own devices; and keeping track of the registry key you need in order to restore an account in an emergency.
The privacy tradeoff is that everything you do on the service will be indexed by third parties for use in their algorithms and (presumably) for their profit.
All of this speaks to the issue of decentralization, btw. Ostensibly, Bluesky is built for federation between multiple PDS, the protocol's version of instances. AFAICT, though, PDS only communicate with one another when you @ a specific user on another server. Most of the time, they're just middlemen between your client and the indexing servers. The indexing servers are making most of the real decisions about what shows up in your timeline.
Bluesky is centralized around indexers.