What I mean is they know the private key of bitcoin and valut wallet because it's custody right
Bluewallet is open source, open source community and source code audits will eventually find if they save the private keys of their users on any servers they controlled.
And also, don't be confused of custodial and non-custodial wallets. Most or all custodial wallets are centralized it means they have full control of its user's funds, non-custodial wallet is the opposite.
In lightning, when you say custodial, it means that the service say bluewallet, have the control of the node server used in lightning. When you say non-custodial, these are the nodes that its either from the community or the one you self-hosted. But in this case, since bluewallet stops their custodial lightning node, the only thing you can use their wallet's lightning feature is to use other lightning node or your self-hosted node, and it's non-custodial or what they called self-custody Lightning wallets.