Setting up an xmpp server is not a good entrypoint in the self-hosting space. It is quite hard to build. It is a complex system made of different components in order to achieve what you expect from it. I strongly recommend using existing servers. If you want to tinker, find something else (a samba share and a vpn on bare metal is a good starting point in order to learn).

I couldn’t think about leaving my personal data to the Big Tech…

I’d add Crowdsec