Exactly. These giant companies should really only be used as interchangeable infrastructure. I have my own personal domain. At the moment, I use Google to handle my mail. If they no longer want me as a customer, I'll update my domain's MX records and move to another company.
I guess they could, but the domain is mine and I could transfer it to another domain registrar. Some government organization could seize the domain, but that's not something I worry about.
I would be even more worried about DNS/domain hijacking if the HN stories I hear are true. Not only technical issues but social engineering of the domain ownership.
Whatever you do (custom domain or not), you're always exposed.
