You’re right that the issue isn’t just trusting a third party in general, that’s how it is for most users on Lemmy or Mastodon too.

The difference isn’t whether you personally run a server. It’s whether the network depends on a single company.

Bluesky operating basically all of the infrastructure on that network means:

• they decide moderation policy and what content gets boosted or hidden for everyone
• they alone can change the rules for access and in general (ads, pay to be seen etc.)
• they can de-prioritize or cut off third-party infrastructure
• if the company fails, pivots or is pressured legally (I’m sure the current US government could never do such a thing), the network can effectively collapse

Here on Lemmy there is no single company that has all that power. If your admin goes bad there are real options to move to and the network will still exist even if they shut their service down. You also have much more leverage over here because you have those options and no operator is drawing in tens or hundreds of millions from investors who get to make the decisions.