Steps to replicate the issue

• Create a sandbox page, e.g. at [[Foo]] and add a self-link to the page to [[Foo]] (a self-link, not a self-redirect). Note the behaviour.
• Create a self-redirect page [[Bar]] that redirects to [[Bar]].
• Ignore the error that tries to stop you (pretend that the page has been made by someone else, maybe by accident, or otherwise).

What happens?:

The self-link doesn't function; it emboldens the text, but it doesn't become a link. Note this is useful on navigation templates.

The self-redirect doesn't function as a redirect, but instead displays #REDIRECT before a link to its target (i.e. itself, e.g. Bar), which can be clicked on. Clicking on the link reloads the page.

There is also no error message. The viewer is left to work out what went wrong.

What should have happened instead?:

The page should probably have just displayed its text, without the link:

#REDIRECT[[Bar]]

or wrap it in a <pre> tag:

The option of also throwing a big red-lettered error message might also be considered.

This might change and prevent self-redirects from being identified as double redirects and appearing in [[Special:DoubleRedirects]] (it's a known false positive). In which case T396272: Special Page for listing self-redirects may then be a good idea.