Owning your own router is important, but I would prioritize it differently depending on your threat model:

High priority (do first):

• Use your own router running OpenWrt or pfSense — ISP routers often have remote management backdoors
• DNS-level privacy (Pi-hole + encrypted DNS upstream)
• VPN on the router level for devices that cannot run their own

Medium priority:

• Your own modem matters less for privacy and more for reliability/speed. ISP modems work fine for most people.
• The bigger privacy win is what runs BEHIND the modem: your DNS, firewall rules, and network segmentation.

The real wins for self-hosting privacy:

• Self-host your DNS (Pi-hole/AdGuard Home)
• Self-host your email (hard but high impact)
• Self-host your dev/productivity tools so sensitive data never hits third-party servers
• Use E2EE messaging (Matrix/XMPP self-hosted)

Start with the router and DNS — those are the highest ROI changes.