No one in this world sets up their own personal email server when one is provided by their employer because of at least two major reasons:
1. No one wants the administration headache of it. Either you administer it yourself, or you pay someone else to administer it for you. Either way, you are paying in either time or money. No normal person would want this additional cost.
2. No employer in their right mind would allow this. Especially a government agency in todays dangerous times.
The only reason you would set it up would be for nefarious personal reasons so that you would have control over the data and in case someone wanted that data, you could easily expunge it.