Something between a bug and a missing feature. But indeed, it is not possible to do that.
Self-associatons are always a pain – in a microflow the retrieve by association will also only work in one direction.
Getting no answer about your post since creation, sounds like an Mendix issue, doesn’t it?
I am also trying to export and import an object A with a self associaiton or self reference to object B. The self reference doesn't show up in the export mapping, but you can use a microflow in the export mapping to select object B.
However, importing object A with a self reference to object B is a problem. Lets assume that object B already exist and I want to import object A. I have selected the self reference in the import mapping. After I have imported object A, object A doesn't point to object B, but object B points to object A. It seems the import mapping sets the self association in the wrong way.