Yeah when I was using self-hosted agents to develop, I was using a personal instance of Azure Pipelines, which is ok because it's the same CI. Now, I'm not 100% sure why they give that warning as in.. a self hosted runner to me is also meant to extend the availability of operating systems to be tested, so I would definitely want pull requests to be run there. Obviously being self managed, one has to be aware that a VM or some cloud resource is better to be used.. and especially something that you can kill or clean often.