Not everyone wishes to rely upon a streaming service for content and the associated cost. We've got instances of Internet outages to deal with, as well, on occasion. In most developed countries, these aren't serious issues but for other places they are.

Some people actual enjoy the technical challenge and learning involved in setting up a server. I do.

I'm running two different server applications on my computer now, Emby and Logitech Media Server. The former handles my video, and I use it to remotely access my music library as well. The latter is for streaming music at home to the various network players, computers and mobile devices that I own. As for why I don't Emby for local music streaming, it doesn't offer server-side DSP, which I use for Room Correction EQ and Loudness Compensation, and LMS does. LMS also offers better metadata presentation and hyperlinking, which is useful when I want to read artist biographics, discographies, genre lookup, and related artists, etc. thus making a more comprehensive music server.