Others have mentioned the control aspect, but that ended up being a big reason I was very glad to have self-published my dark fantasy series.
In the last book in the series, I wrote something in an unconventional way. My editor said if she was the publisher, she’d make me change it. While I very much respected her judgement, I decided that in the last book in my series, with readers having come so far with me already and no next book in the series, I would rather take the risk to give them something special, than play it safe.
At that point, I was especially glad to have self-published.