I'm guessing the best way to go about self custody these days is to have a multi sig wallet, based on multiple hardware wallets from different vendors.

I wouldn't trust any of the hardware wallet vendors. Pretty much all of them have had customer data leaks, resulting in wrench attacks.

You're better off just having a dedicated laptop for crypto transactions.

Hardware wallets have a huge target on their back. They are great for convenience, but once you are using multiple for muli-sig you can have more security with less hassle with an airgapped old laptop or a hand-stamped piece of metal you keep in a safe

What always surprised me is there aren't many implementations of multisig for EVM based chains.

Actually the only one I know is the Gnosis Safe. Talk about creating a huge risk if it would have a problem.