You don’t. But for those of us who consider it an option, it has its perks.

Personally I play on a rented server for Conan Exiles normally, but for other survival and survival like games, I usually run a dedicated server for myself. Games like Space Engineers, Medieval Engineers, Valheim, Empyrion, and even Terraria.

For me the perks outweigh the hassle. If it doesn’t for you, then don’t do it.