The biggest problem remaining to me is that you don't chat alone. You're always chatting with one or more people. Right now there's no way of knowing how they handle their backups and thus the complete history of your chats with them.

It's the same thing as trying to avoid big tech reading your emails by setting up your own mailserver. Technically you can do it but in practice it's pointless because 95% of your emails go to users of Microsoft or Google anyway these days.