Yeah - the hybrid cloud and on-premises build agents is actually one of my favorite features. The open source project that I help maintain (libgit2) uses VSTS's hosted Linux, Windows and macOS build agents, but add support for some other platforms (like ARM) with on-premises build agents.

("On-premises build agents" makes it sound fancier than it is, it's actually Raspberry Pi's on my desk, but hey, whatever works, right?)