It's hard to say - the main reason for self-hosting probably has more control, for example. Being able to configure the system as needed.
IIS hosting is convenient and easy to configure, and it offers on-demand download services, for example. the service host is only loaded if the request really arrives.
This constant loading (and unloading) of the service host may slightly hurt performance - on the other hand, self-servicing the service host will probably use more memory (since ServiceHost is also active in memory at all times).
So again - this is a trade-off between memory and speed - selfhosting uses more RAM, but probably a little faster.
Mark
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