I think Babylock makes one. I am sure the higher end ones of other manufactors also have them.
I purchased a newer Bernina in the last year. It is not self threading but it is a lot simpler to thread than my previous one. The biggest change is that the threading does not absolutely have to be done in a certain order. I usually just tie on the next thread and pull it through. Once in a while I am not able to do that. With this new machine I have a whole lot less stress.