Yes, confirmed as a bug. Thanks for reporting it.
I tried to report it using the Bugs & Requests link at the top of this page, but my current internet connection is weak and/or Jira seems to be down.
Here’s the bug report I tried to submit if you’d like to paste it:
(Title) User group can be set as its own parent
In the Update User Group Panel, the user group itself appears in the drop-down list for "parent." Setting the user group as its own parent causes it not to be displayed in the user group list so it’s impossible to delete or correct it.
It shouldn’t appear in the list and maybe there should be a test in usergroup->save() to prevent saving a group with the parent set to its own ID to make sure it could never happen.