Of course, it's wrong to say that a particle's own electromagnetic field has no effect to it. This is in fact a quite difficult problem that came up with the discovery of point-like charged particles like the electron at the end of the 19th century.
At this time, Lorentz has developed a classical theory for the motion of such particles in a electromagnetic field. Of course, he knew that the acceleration of such a point particle means that electromagnetic waves, the particle's wave field, are created, which carry energy and momentum away from the particle, which thus must feel a force corresponding to this energy-momentum flow.
The trouble with this, however, is that the total energy and momentum are infinite for a point particle. However, this is already true for a charge at rest. The em. field of a charge at rest is the Coulomb field (with vanishing magnetic-field components as expected from electrostatics), which has an infinite energy, but it doesn't radiate any em. waves. Also according to the principle of relativity a point charge in constant motion doesn't radiate wave fields. That's why there's one closed solution for a free point charge, which runs with constant velocity and produces a Lorentz-boosted Coulomb field (with both electric and magnetic components).
Lorentz came only to a partial solution of the problem of a charge in general (accelerated) motion: He solved the equation of motion for the particle in the given (external) electromagnetic field, neglecting the radiation reaction completely. Then he treated the radiation reaction as a perturbation, where he could subtract an infinite amount of energy, which he interpreted as (part of the) electromagnetic mass of the point charge. That was the first "renormalization" of an infinite "self energy" for an electron (in 1916, i.e., long before the analogous problem in quantum electrodynamics has been solved by Schwinger, Feynman, Tomonaga, and Dyson in ~1948-1950).
The best treatment of these problems in classical electrodynamics can be found in
F. Rohrlich, Classical Charged Particles, World Scientific.