You may be misunderstanding something about bluesky. (Or maybe not.) When a username has a domain other than bsky.social they're not on another instance like how that works on Lemmy. It's just a custom username and the Bluesky service has the same amount of load either way.

As for censorship, you can have a bsky.social username and still customize your moderation yourself. But Bluesky will still centrally do some necessary moderation to keep stuff like child porn off the service.

The way federation works with Bluesky/ATProto is fundamentally different than Mastodon/ActivityPub (see these diagrams).

If you want to maintain direct control over your data just in case Bluesky shuts down, you can move your data onto a PDS (Personal Data Server) that other apps built on ATProto can still access. Currently, this is a technical process, but it will become easier as the ecosystem develops.

People shouldve switched to mastodon tbh (Privacy wise its better than twitter but isnt completely self hostable :/ )

CNAME user names are just vanity. You can host your own content PDS, but that’s a more complex endeavor:

https://atproto.com/guides/self-hosting