Setting up your own is better for doing it privately - takes out an unnecessary extra party at least. Still not perfect of course, the data center and ISPs can

Setting up your own is better for doing it privately - takes out an unnecessary extra party at least. Still not perfect of course, the data center and ISPs can still see your traffic and connections on both sides, so still cannot be considered truly private. Interesting that you say "external auditors" though - have any commercial VPN providers offered anything like that? Of course, it'd only be worth something if they'd put their money where their mouths are in a form of insurance payout if they were wrong.