It’s actually really easy if you just invest in a Synology NAS. You can install the music server package with a few clicks and copy music to the folder, then open a port on your firewall and the Synology music app streams it. Pretty nifty
Doesn't even need to be Synology. Plenty of solutions that can be installed on your own "open" hardware (old PC, mini PC or just a more powerful server)
As a Spotify user, I'm not really ok with how much they pay artists... But I don't use Spotify for "streaming" even though I stream a lot from them, I use it to discover new music, find obscure bands, their algorithm is amazing at that.
I could easily selfhost as you suggested, but then it would be my own music bubble.
I go to concerts and buy merchandise as much as possible when I want to support an artist.
7digital has a reasonable selection, but it's not all available lossless, which would be almost incomprehensible in 2023 if it wasn't for the fact that we're talking about the music industry.