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

polyester_apricot650:

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.

Correct, they are typically used for traversing between different internal and external networks.

polyester_apricot650:

So wouldn’t traffic out of the server could potentially be monitored?

It is monitored, ISPs have to measure network traffic for billing purposes and acceptable network usage, among others.

polyester_apricot650:

I guess I could use a secure DNS, but that doesn’t solve everything.

It solves your DNS queries from being easily eavesdropped on the wire between you and the resolver.

polyester_apricot650:

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?

Trust, either you trust yourself, or someone else, and there are various attacks available against server RAM, such as Battering RAM:

Battering RAM

Battering RAM

There are also cold boot attacks, but their effective depends on the generation of the RAM.