Self-custody means holding the private keys to your cryptocurrency yourself, rather than leaving them with an exchange or service.
With self-custody, no one can freeze, seize or lose your funds through their own failure. You are in full control.
You create a wallet, which generates a recovery phrase. That phrase is the key to your funds, and only you hold it.
Self-custody means there is no password reset. Lose your phrase, and the funds are gone. Protect it accordingly.
Use a hardware wallet for large amounts, back up your phrase on paper or metal, and never share it.
Self-custody is the truest form of crypto ownership, and with the right habits it is also the safest.