I wouldnt say that. however setting uo your own mail server is a lot of work, as you have to abide a lot of "security" rules (SPF, DKIM, DMARC, rDNS). Additionally some hosters reuire you to apply for port 25 to be unblocked (e.g. hetzner)
The set up isn't actually hard at all, if you understand the concepts. Keeping off blacklists is the hard part, as big providers often block entire IP ranges due to one bad actor.
Edit: I meant sometimes your server gets blacklisted for something some neighboring server did
Well I did set one up today and the mails land in the spam folder for GMX, GMail and Microsoft (@live.de), although I set up SPF, rDNS, and DKIM. I have to take a look at how to setup DMARC, beacause my domain hoster doesn't allow free configuration of the TXT entries, you have to use templates and there isn't one for DMARC
I managed to set up an SMTP server on my instance, I think I used postfix and dovecot after following some random tutorial. Then followed it with some generic make your mail not fall into spam tutorial to have the DKIM records and whatnot and to my surprise the e-mails reached even my Gmail inbox, which has probably the most strict rules. I must say that setting up postfix with dovecot is the hardest part, at least for me, after that it was just copy-pasting commands and setting some DNS records.