On other blockchains, NFTs are typically custodied in a marketplace. This is akin to having an account with a company. The marketplace has a reputational motivation to keep your NFT safe and secure, but your NFT is still in their hands.
Self custody means that you have control over your own assets. The same mantra of “Not your keys, not your coins” also applies to NFTs. When you self-custody your Chia NFTs, it means that they are controlled by your keys, and therefore they are your assets.