In what way do you not own your own bitcoins with Electrum (or MultiBit)?
With both those wallets, you have exclusive control of your private keys.
If Electrum or MultiBit are "third party services", then so is Bitcoin-Qt.
Sometimes ownership of private keys is not enough. If Electrum can fake received transactions in ur "wallet" they can cheat u. With Bitcoin-Qt u can be sure that if u see "6 confirmations" then there are indeed 6 confirmations.