There really isn't a right or wrong choice but rather making this decision depends on how important decentralization, security, and management of your tokens is to you.
The self-custody option allows for you to have full control over your tokens and your keys. However, you have to be extra careful with creating your cold storage and take full responsibility in safeguarding the private keys.
The custody service solution is centrally managed by a third party. Your tokens are housed with the provider and you do not have to manage, and securely store, your private keys.