"You can sovereignly host your own PDS"

Yes.

"... and entirely control your identity on bluesky"

No. The PDS stores your data, but BlueSky maintains a central registry for IDs in their network. In theory, you could run your own ATProto ID registery. But from what I understand, it would be incompatible with BlueSky. It would be the equivalent of forking BitCoin to create your own blockchain. You can, but it doesn't allow you to transact over the BitCoin blockchain.