My biggest complaint with all the streaming apps I tried was that their interface was terrible (in my opinion), so that was an especially important consideration to me. I prefer an 'old school' music player interface that focuses entirely on just my library.
Then there's also the issue of VPNs, especially on my phone, I prefer to always have my VPN active which most streaming services do not allow.
Plus, on desktop I often prefer to use a separate music player (MusicBee), which again lends itself nicely to the self-hosted solution since I just have it pointed to the same library as plex. Related to this is that I can organize my music however way I want and don't have to worry about being locked into the app's quirks.
Then, with the spotify outage I came across many complaints about login timeouts causing the app to outright log them out, preventing them from accessing even their downloaded music, which is also a nice thing to not have to think about.
On top of all that, my taste in music is indeed slightly niche and it isn't too uncommon for some track I have to outright not be on any streaming service (sometimes because it's too old, sometimes because it's from too small of an artist or isn't a public release), so not having to switch to a different app for only that music is also nice.
So combining all that makes a plex/plexamp style arrangement much more convenient to me than any streaming service.
I used to pirate the music back when I was too young to afford it and might still do so for music that isn't available for convenient purchase (ie only available by importing expensive physical media from the other side of the world), but otherwise since I can now afford it and am often somewhat invested in the artist's career, I don't mind buying it.