I think in this day and age, it's "fine I guess" that it's set up that way: most services do that. But going forward, I think it's much better if services work in the way that e.g. email and IRC work: decentralized and federated. Nobody can know what will happen with Signal, or the USA in general. We'll be having this whole conversation about switching chat clients again in a couple of years. Whereas with a decentralized service, it doesn't matter. Anyone can build the software, anyone can run a server. Regardless of what happens to the people or organizations behind it.
For what it's worth, everything about signal is open source and you can see how little data they can actually collect from you even if they wanted to. I believe they wouldn't be able to start collecting more data by modifying the server code, because the features which prevent them from receiving your info are built into the protocol and the client apps as well.
But since it is open source I suppose it would be possible to run your own server too... I suspect you just wouldn't be able to talk to the same people if you did (you'd effectively be running your own version of signal and that server would do the necessary coordination tasks for you and the other people using it)