I have Self Shadows checked in my Settings tab on KS 4.0.74 - and they do appear to work when I render a Still Image. As soon as I go over to Animation, self-shadows seem to be disabled when I am rendering out frames. Even if I have the box still checked in my Settings tab.
I have Global Illumination and Ground Illumination set to OFF, and I also have ground shadows turned off. My realtime preview and still images are very happily is showing self-shadowing when I check the box, but I can't seem to get them to appear when I render frames in animation mode.
EDIT: Self Shadows appear to work in animation mode, as long as I have unchecked the sharp shadows box in my quality settings before beginning the render. So, I'm not sure if this is a bug or an animation issue, since this doesn't happen when I render still frames with the same settings