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There is absolutely no reason other than the overhead you need to self manage the service like you would self manage any other internal service.

If you are comfortable at operations you'll be fine. Some people are not good at ops so outsourcing the problem making the ops side someone else's issue can also be useful.

Self hosting will offer far more options when it comes to scaling and tweaking. Overall on bare hardware costs it's cheaper and faster although up front costs will be higher.

Kafka usecases are rarely elastic so don't gain that advantage in the cloud. Also Kafka's missing tierd storage makes it expensive if storing big volumes of data.