Hello,
Yes, it is possible to connect your self-custody wallet to defi sites. You can change the default wallet through Brave Wallet settings: brave://settings/wallet
Select Brave Wallet (prefer extensions). It is best to restart the browser after making adjustments.
Here is some additional information on using Brave Wallet: https://support.brave.com/hc/en-us/articles/4415497656461-Brave-Wallet-FAQ