You may be misunderstanding something about bluesky. (Or maybe not.) When a username has a domain other than bsky.social they're not on another instance like how that works on Lemmy. It's just a custom username and the Bluesky service has the same amount of load either way.
As for censorship, you can have a bsky.social username and still customize your moderation yourself. But Bluesky will still centrally do some necessary moderation to keep stuff like child porn off the service.