You can host your own data. But the problem with Bluesky’s architecture, is the aggregators.

If you want to post something

your own data stored in your own server, should be send to an aggregator before it can be posted on Bluesky. So censorship can occur at the aggregator level.

In theory, anyone with the right amount of resources, can run an aggregator.

But as I said earlier, Bluesky is still a work in progress, no one knows really how it will evolve!