Like another commenter said, Mopidy can do it all in one instance. It works, but I personally find its integration with MPD clients to be a bit clunky so I don't use it all that much.

Personally I use Snapcast as an endpoint, plain MPD for local files, and navidrome for remote access to my library.

Snapcast supports Spotify endpoints, so I just switch to my Spotify stream when I want to listen to Spotify and to my MPD stream when I want to listen to local stuff.

This is more of an ecosystem than a single solution though, so it may not be what you're looking for.

Don’t know if it meets your ‘self-hosting’ requirements but Volumio handles local and Spotify, among other streaming services.

I don't have any experience with it, but there is a project called mopidy that I believe can play from many different services, including local music and spotify.

If you don't mind switching to Tidal, you can do that with Plex. Otherwise, I don't think it's possible.

Volumio can do this with the right plugins, but it's a bit janky and not as seamless as mopidy