If you think about it deeply, you will understand that self moderation does not silent critics as admin suggested. Rather it reduces spam. If anyone's post is deleted by a self moderator and he feels that he is being silenced, he can simply go create a new thread for that respect. So, if you don't want to be moderated by anyone apart from admin, you should avoid posting in self moderated threads.
You are completely right, but again, I think it's a two way thing though, like something having it's advantage and disadvantage, or to be more appropriate, we could say "a pro" and "a con".
Like the admin said, some scammers, bad eggs in the community could as well leverage on their liberty to self moderate their own thread, and use it for scam, dubious activities, deleting any sort of comments that tries to warn others users coming into such thread for the first time - this is very possible and I believe that what the admin meant is very understandable.
But again on the other hand, you are right too, a user who created an important thread which requires only important comments might as well want to self moderate the thread to make sure every comment coming in are up to standard, and this is possibly because, we all know that using the report button does imply that a spam comment will be deleted immediately, sometimes, it takes days before the mods take action on a reported spam post, in the area, we discover the ability to create a self moderated thread is still as important.
But then, and unfortunately, many of the nice features are for sale here.