I just have website.com and my Substack is subdomain.website.com. If I ever wanted to move off (I definitely don't!) I could keep all the urls exactly the same with self-hosting.
But substack solved distribution (and community, and bookkeeping, un-distribution etc) and it solved getting paid for my writing, which is not enough to live on but its definitely significant and well appreciated. It is worth much more than its fees, because the counterfactual is that I don't have any of those things. I think it's a huge mistake to lump those together as "convenience", its a lot more than convenient!
The only important thing to me about having a non-substack website is that its good to have a place for more permanent information, lists, contact, etc. But even for many writers, that kind of stuff becomes stale so quickly that the personal sites don't tend to matter much, or even make them look worse! The floating social network spaces are much more valuable. Even losing my x.com would be much worse to my day-to-day life than losing my domain, though I may wish it were otherwise. And I cannot replicate that elsewhere. The social networks are big because they have genuine utility.
How easy/difficult was it getting off the ground on substack? Did you get interactions right from your first post? Is there visibility for new writers?
Please also make sure to keep your wikidata and ISNI information up to date with your substack links.
Services like pirate[dot]kred use that information to link your books to your payment pages (substack is supported).
> The social networks are big because they have genuine utility.
I think this is mostly wrong, and that the social networks are big primarily because they spent money at the right time to create entrenched network effects that allow them to rent-seek ever after. The quality and innovation of the services themselves (especially simple sites like twitter/X) is not the moat. At a technical level, most are easily clone-able and dominate not because they offer the best service or have the best features but because "everyone is there." That ubiquity is the only "genuine utilty" they are offering you.
I said "mostly" above because it seems like substack, e.g., as you said, has bundled payment, email, etc in a way that people really like. Even there, though, the network effect is probably the dominating factor.