This is exactly what I have been doing. I enjoy this way of interacting with Fedi.

Pros:

• No reliance on the charity of others.
• Refresh as many times as you want without worrying about server load.
• Decide exactly which apps to host, and how they look and feel.

Cons:

• Hosting costs money/time.
• Interacting with remote instances is sometimes a little more work as you have to copy URLs and paste them in your search, and you’re less likely to have already fetched content because of other users subscribing to these remote instances.

Generally interacting with other instances works just fine. Especially on Mastodon I hardly ever notice I’m on a single user instance. Lemmy because of its different style of application (e.g. it’s more common to link to posts) presents empty posts a bit more often but I hope a bit more proactive fetching of remote content can be added at some point.

Hosting your own instances may not be for everyone but it is for me, and I can recommend it.