sure, threat model matters. no protection is 100%, but more is better. using my own hosted proxy means that my identity is out in public. it's not even hidden. no need to even seize payment records. anyone can look up the ip address and eventually figure out who owns the server. i might hide it somewhat if i use that proxy only for this purpose, not point any DNS records at it, not reveal any public data, never use it for services where i log in, etc.
truly anonymous hosters are high profile targets for law enforcement, so in my opinion they are higher risk than even VPN providers. not interested in getting caught up with that crowd. and for the good VPN providers at least a court order is necessary, and if the VPN doesn't log usage, they can't prove anything.
there is no threat model where your own hosted proxy could ever provide better protection than any VPN. i use my own proxy because it's free, because i already have a server where i host my website, not because it provides me with any kind of protection. to get that, a VPN would be easier and cheaper.