There's no requirement that a band join a Performing Rights Organization. A PRO's assumed role is enforcement of copyright, and they are just doing their job here. But You still own the copyright to original works without joining a PRO and bands can enforce their own copyrights through the legal system if necessary.
Many people who advise bands using conventional wisdom from the more traditional music industry will tell you to join a PRO right away (and the PROs themselves advocate this for obvious reasons), but if you are trying to do something more like CwF+RtB or something otherwise different than the big label industry, then that is actually not relevant advice.
My experience working with indie bands suggests you shouldn't join a PRO until you have something worth protecting. And then read the agreement carefully, shop around, and find a PRO that meets your specific needs because there are several of them to choose from, and they are not all the same.
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