In addition to setting a consistent security policy for all workstations participating in the internal domain, the advantage of having your own server is that you can manage all users centrally.
Only users with user accounts on the server can log in to workstations that are bound to the domain. So, if an employee leaves, you can disable the user account on the server for that user.
This contributes to security as the account will not be able to log in to devices connected to the domain or access network resources.
You can also create a security group on the server, add users to that group, enforce security policies, and allow access to shared files and folders only to that group. And if your employees change over time, you can manage new users’ access to files and control settings by simply adding or removing them to the appropriate security group on the server.
Trying to do this without a server would be a cumbersome task, including the hassle of editing group policies from individual computers if you were to implement this level of security.