I sincerely doubt that many or even most would consider a simple question like this blasphemy.
First of all, though, why do you think you pay 25%? Last time I checked, it was 20%, did that change lately?
If you can get the same amount of people to buy from you/revenue on your own site, and want to take care of all the hassle with setting up payment systems, terms of service, whatever-compliance, etc., and end up with costs of business of just 5% vs. 20%, then sure, by all means do it, absolutely, no reason to not.
A lot of people do get organic sales here and many say they use the buyer request feature rarely or never. Personally, I did use it often when I started, then less, and there are long stretches of time when I don’t even look at it “just in case”.
If you never get organic sales and don’t want to go to the trouble of using BR (but you’re in for work as well if you want to drive people to your own site), then Fiverr might not be the right place for you.
But as already noted, it doesn’t cost you a single penny unless you actually sell and earn, so there’s no good reason to not do both, have your gigs here while you try getting sales with your own site. Once you’ve had your own site for a while, you’ll see that “getting organic sales” is tied to costs and work, it doesn’t mean that people will find your site and buy from you, just because your site is there.
You also need to factor in that no matter how many people complain on the internet about Fiverr, Amazon, whichever big company, still most people will trust a big company much more easily with their credit card details and money than some one person they don’t know who just put up a site a week or month or year ago.