Interesting question. The short answer is that this is currently not supported. You also see that if you hover over the self-referencing association in the Data Hub pane. I will ask around if I can get some more information on this.
Edit: consuming self-referencing OData associations will be possible when we support one way navigation properties, which is not yet the case. I don’t know yet when we have support for that, but it’s something we are thinking about.