Note the shape of decentralization is very different from Mastodon — there's no concept of "running a Bluesky instance". What you can run is a personal server to host your data (which would work for any atproto apps, not just Bluesky). The Bluesky web app (which is ran by Bluesky) would aggregate data from your server (and all other servers on the network).
Unlike Mastodon, you don't have people running copies of the Bluesky app because it is simply unnecessary — each copy would "see" the same network. If you wanted to fork the Bluesky product (e.g. different branding, different moderation decisions, different product decisions) then yes, you'd run your own product on your own backend and it would be able to ingest Bluesky app data (and vice versa, the Bluesky app would be able to ingest the data from your product).
Which part are you referring to by “that”? There’s definitely people self-hosting their data (not a lot cause the process is pretty technical and manual atm). Note that you can always move hosts (without asking permission from the previous host) so you can start using the Bluesky hosting and then switch it.
I mean it does not seem like there's a bunch of personal data servers or web app instances people choose from, like there's in Mastodon (I know it's not the same technically). Therefore, it looks like Bluesky is much more centralized than Mastodon. I wonder if that's because it's technically harder to run your own software for Bluesky or what?
Unlike Mastodon, you don't have people running copies of the Bluesky app because it is simply unnecessary — each copy would "see" the same network. If you wanted to fork the Bluesky product (e.g. different branding, different moderation decisions, different product decisions) then yes, you'd run your own product on your own backend and it would be able to ingest Bluesky app data (and vice versa, the Bluesky app would be able to ingest the data from your product).