There’s a tradeoff to spinning your own VPN. You’ll avoid lots of scrutiny since it’s harder to tell that you’re running a VPN (especially if it really is a Virtual Private Network, with no outside gateway). On the other hand, if it can be identified as a VPN, that puts you into the relatively tiny demographic of people running their own VPN. That’s the “metadata” level issue.
Regarding failures of the VPN itself, if you are the only one on the VPN, and the server has a unique IP address, then it doesn’t anonymize you at all. Someone with a complaint need only force the hosting company to disclose your information. Additionally, you are susceptible to the same “host attacks” that other VPNs are. If someone compromises the physical box hosting your VPN, they can spy on the network traffic for your VPS, and depending on the technology involved, on the VPS itself. Sidechannel and timing attacks from other VPSs hosted on the same physical machine are also a threat.
Personally, I would stay well clear of AWS, as it’s pretty well established that they snoop on the contents of their VPSs. At the very least, their virtualization technology doesn’t make such snooping more difficult, so rogue employees could trivially do so. More dedicated hosting companies (Digial Ocean, et al) may be more reliable.