Disclaimer: For the sake of building a rational explanation, I am going to assume that skynet does not have any knowledge of the three laws. That assumption is based on the obvious fact that they do harm humans, and allow humans to come to harm by any means necessary.
I do believe that a T800 as designed by SkyNet is fully capable of self termination. For example, if one were facing capture by the resistance, it would be beneficial to SkyNet for the terminator to destroy itself, thus rendering the technology useless to the enemy. Plasma weapons would be effective in rendering any computational hardware unrecoverable, while the endoskeleton is less of a concern in 2018-2027.
So why would a Terminator capable of self termination be unable to self-terminate when sent back in time? Ignoring the fact that plasma rifles are in short supply in the 1990's, prior to being sent back, John Connor instructed the Terminator with its mission parameters one of which could have been to have John or Sarah destroy the Terminator in a way that would not leave any recoverable technology behind.
A Terminator can only self terminate itself to the point it stops functioning, but technology can still be recovered. Recovering this technology in the present is what allows SkyNet to be developed. Self-termination would not completely satisfy the requirements set forth by the parameter, and thus the Terminator cannot comply. The only other alternative would be for someone to continue to reduce the machine into harmless metal. It's convenient, however, that the movie ends in a metal foundry.
I know someone is going to ask "Why not jump into the molten metal, then?" I like to believe that John would have wanted his younger self to learn a lesson of loss, and having to face a tough decision. Old John knows his mother is going to die soon, and losing the Terminator will help him do a practice run through the grieving process. He might also want to have himself develop an animosity toward the machines as he gets older...hating them for forcing him to destroy the machine he grew to love. We can see some of this resentment in T3, when he has an attitude with the Terminator. This could be some of the fuel for the fire inside John Connor of the future...