While I agree with others, I also have ripped a few hundred CDs as FLACs and about 150 SACDs as DSF files. I use Foobar2000 and have configured it to output DSD 512. I like that. I still download albums that I REALLY love and they go to my media library. My setup is using the audio server that I have built myself.
Most people use Roon to stream Tidal and Qobuz. I do not do that, since I use Spotify. Its quality is not as good as Tidal/ Spotify, but it has many albums/songs not available in those 2 services. While I am an audiophile, I prefer to choose music over quality. And as others have said above - rare CDs or albums not available on streaming might be a good reason for you to build your own library.