If you setup your own VPN on some leased VPS, then you're the only user. So there's zero help re anonymity. And re privacy and security, you need to trust the VPS provider.
But a VPS on DO, AWS or gcloud also has numerous services on the same physical machine. It's not like every request coming from that machine is from you or am I missing your point?
Sure. But each VPS has its own IP address. The VPS provider probably retains logs. And its ISP probably also retains logs. And everything involving that IP address is associated with you.