It's not just convenient for them to do it; it's how they are able to evade anti-trust action (not that the U.S. is great at it anyway but still). I also run my own mail server. It's not impossible, and I wouldn't even say it's even hard. It's just time consuming to set up (if it's the first time), and there are a lot of hurdles to make it so impractical that it's virtually impossible to the average person. Only the most patient or those who have a real desire to run their own mail server will even attempt it. Anyone can set up their own mail server, but most won't because it's not worth it compared to using something that just works from Google.