That happened last year, so it would be interesting to hear an update on how his project is coming.
Sanderson offered a fairly complex array of items of interest to fans, in which his regular publisher would not have expertise or interest. A number of sf/fantasy authors do well with special autographed and illustrated print editions, for instance. Most trad pubs are in the business of simple mass production, not leather bindings and embossed slipcases. They'll shell out for a cover artist, and they'll maybe offer a good advance and a nice royalty break, and their sub rights department will sell translation rights to Hungary, but when it comes to specialized sub rights like autographed limited editions with leather bindings, they're at sea.
For any trad author with a following, the money to be made in self-publishing, plus the control, could be very substantial. Is it worth the aggravation? Sanderson is willing to find out.