It's good to have mysteries. It reminds us that there's more to the world than just making do and having a bit of fun.
You wouldn't want any creative process to lose its sense of fun and adventure, but that doesn't mean you can't take it seriously as well.
The only real reason for self-referencing is the fun factor. It's fun for the writer, getting little peeks at what old characters might be up to. And it's fun for readers to spot a familiar face, or pick up on a made-up book title or something from an earlier story. I don't know that it does -- or even should -- contribute to the story in hand being any better than it would have been without it.
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