There are also tradeoffs:

* relays can just go away - you don't have your data then

* there is both user-friendly and secure way of managing your private keys; additionally, once your keys are gone, your identity is gone - there is no "I forgot my password" procedure

If you're worried about the durability of your contents, you can publish them on multiple relays, even self-hosted ones.

Also, events are just JSON content: you can easily dump them on your local storage and republish on another relay whenever you want.