Why the thimble? Most people when they talk about a self threading needle are referring to the calyx-eye aka French spring eye needle. This self threading needle is made by putting a slot at the top of the eye. It was invented in 1850 when metal and technology could not do anything better.
That self threading needle has two small points, one on each side of the slot, at the top of the eye, and is very hard on your finger if you push. That is why they recommend the thimble when using a self threading needle.
My side threading needle (the Spiral eye needle) is also sometimes called a self threadingor easy threading needle, but it has the slot on the side and it is no harder on your finger than a traditional eye needle.