Government can knock your door and ask for the seeds or private keys and there is nothing stopping them from doing it which is not related to self custody or not but the owning bitcoin is what the primary reason why bitcoin is existing, own your money and have full control over it and no one prints more and such are the primary reasons why we need to hold bitcoin and most importantly if you don't own the keys then it is not your coins.
Self custody is the future, who won't want to have full control on their own money without any third parties being involved? That's what forced Satoshi to create bitcoin, maybe he figured out that some folks would definitely get tired of the banking system and the government controlling how they save their money and charge them with several taxes in the name of bank charges, but with Bitcoin they'll have full control of their money like "being their own bank" anyways the only way the government can stop people from owning Bitcoin is to ban it permanently or forcefully make people to give them their seed phrases Or private keys at gun point, don't think such situation would likely happen.