Setting up all the DNS records right takes some effort, yes. You will need a VPS or an ISP that gives you a static IP and the ability to set the PTR record for it.

Other than that, self hosting without losing email is perfectly possible. I have been doing it for the last 10 years or so. 

 But IMO it is not worth it over Protonmail (or similar) even if possible. Better to live with the fact that E-Mail is not and will never be private.  

 and we don't have reliable nostr DMs yet either, which would be nice 

 The way I run it, email is private - but only when the other side has a similar setup, which is practically never :)

I like Protonmail too, it is a very good service.

Wish FreedomBox had an integrated mail server. 

 That's exactly the issue. The other side is (most likely) using gmail or similar and all email conversations get scanned. 

Practically nobody uses email e2ee. 

Just use signal/simplex for conversations.