Nothing is free. One of the many things my dad taught me. If someone is telling you something is free look out. The rug pull is coming. This includes third party custody. As you point out the costs can be hidden.

Many are stupid. Many are ignorant. Many are busy. Some are self aware of their flaws and make this decision to give up custody wisely. And some are just lazy. I think laziness is the main factor. But there are probably many factors.

With lightning there are middle grounds like Phoenix and Zeus. You aren't running your own node but you are not fully trusting a custodian like you do with WoS.

With all that said the larger issue with self-custody is personal responsibility. Few have it in my experience. Bitcoin removes the requirement for trusted third parties but you always have to trust someone. At minimum yourself. For all the reasons you state I believe there will always be third party custodians. The idea of Fedimints is a model that seems viable for this. A model better than the existing fiat system. This will continue until people learn personal responsibility. Many will need to be rugged. I think we should still push for self custody.

Good post btw. Need more like this.