Custodial = means you do not hold the keys to the funds and they aren’t really yours. Wallet of Satoshi is custodial.
Self-custodial = you hold the keys and have sole control of the balance.
KYC means you bought the Bitcoin and it’s tied to your identity. You can deposit that Bitcoin is a custodial wallet or self-custody it the same. It’s just that KYC transactions can be tied to your identity.