Is it worth setting up my own VPN server and what are the possible use cases?

It seems like Tailscale is very popular, but how does that or VPN protocols like AmnesiaWG help enhance my privacy? It seems like these tools help secure the connection between the client and the server, which is great, but the server still has to connect to the internet. Typically, or at least where I am, signing up for an internet requires going through KYC (Know Your Customer) and using a valid payment method. So wouldn’t traffic out of the server could potentially be monitored? I guess I could use a secure DNS, but that doesn’t solve everything. Why would anyone do that when they could use Mullvad, where the user can browse privately and securely, and the server is RAM only with no logging?Can someone help me understand the differences and use cases?