I've been playing DnD for nigh on 40 years. I've been running my campaign world for 30 of those. Yes, it has gone through massive changes as my tastes and my capabilities have changed, and as editions have forced changes - GRRRR.... I still resent losing the 2nd edition priest spheres - I never thought 3e domains were different enough, and 5e needs a good few more domains.
But yes, it is work and I freely borrow from many other sources - I scrape off the serial numbers and only use the bits I like, but I make use of a lot of sources. I doubt anyone would say they never use another source of ideas or material in their homebrew, and they'd be liars if they did.
On the other hand - no, designing your own campaign is NOT work, it IS play. You can remove a LOT of the work from yourself by judicious borrowing, too. For example, I use real world geography for my campaign. I have a world atlas, and I found a map of the US that had a bare minimum of "real world" stuff on it (it's got lines for the US states, and lake/ocean names printed on it). Combine the two with a weather atlas, and I can pick a campaign region, decide what sort of nation is in the area, scan a section of the map into the computer, drop it into my painting program, add roads and city/town markers, boundaries and a few other symbols, and be ready to start adding text names in 2-4 hours time.
Names aren't hard, either. For a new region, pick a country/language. Use your atlas or a google site, and generate a list of 20-50 city names, river names, etc... in a half hour you'll have all the names you need. Name NPCs from that area with the same language, and voila, instant compatibility.
But if you don't LOVE doing all that, then by all means use a campaign setting. Nobody will hate you for it. It's just where you put your energy. I tend to use (lightly to heavily modified) premade adventures. I'm not terribly good at original plots. I hate designing combats, though I like running them. I'm good at tweaking, though, so that's what I do. Do what works, not what you think other people expect you to do.