In that you control your UTXOs, yes. The multi-sig transactions to open and close a channel with your counterpart are the on-chain footprint, with the “layer two” Lightning protocol representing the ownership of your portion of that UTXO at any given time. So while there is always the self-custodie on-chain anchor underneath those Lightning transactions, the exchange of L2 sats is also happening via an open-source protocol where both parties cryptographically secure their own funds, while the amount that each party owns is changing and being updated off-chain. Maybe over simplified (I’m no expert) but this is how I understand it