You can manage your own if you want, but we don't guarantee that we won't change something without notice; if we change your site's IP, your site would stop working. Adding a unique IP to your plan will make this less likely to happen, but it still could happen (without notice). If you wanted to, you could make a little script to query our nameservers for certain records and check if they've changed (and even update them if you have access to your primary nameserver).
What features of managing your own DNS wouldn't you be able to keep after transferring your site to us? We have a custom DNS management panel which lets you add at least common RR types from the web-based interface; even if you're on a CDI plan which doesn't include this, if you ask support nicely, they might just add this feature for you. We're also happy to manually add records for customers (within reason) if their plan doesn't include this feature.
You also may run into problems if you plan on adding MySQL hostnames or plan on accessing other services (mail, etc.) from our service.
Overall, there are ways to work around most of these issues, however our system does kind of make the assumption that we're authoritative for domains we host, so you may run into unexpected problems if you do your own DNS. As long as you're willing to deal with that risk, it shouldn't be a problem.