I don’t think there’s any significant downsides. I suppose you are dependent on their infrastructure and uptime. If they ever go down, or for any reason stop offering their services, then you’re out of luck. But yeah that’s not significant.

The reason I want to do this is it gives me more control over the setup in case I ever wanted to customize it or the wireguard config, and also teaches me more in general, which will enable me to better debug.