Self-immolation is actually a leading suicide method in Asia and Africa. For example, in Iran 25%-41% of suicide attempts are by self-immolation. It's especially common among young married illiterate women, who often are trying to escape domestic violence.
The fatality rate for self-immolation is 60%-70%, which isn't particularly high considering it's one of the most painful methods, with failed attempts resulting in excruciating pain and permanent disabilities.
Most suicidal people will be comparing self-immolation against other more lethal methods, including firearms (90% fatal), hanging/suffocation (84.5% fatal), drowning (80.4% fatal) and jumping before moving object (78.5% fatal). There is also a long list of other methods, such as SN poisoning or inert gas asphyxiation, which can be highly lethal with the right knowledge and preparation.
Most people in the developed world are choosing suicide methods that are more effective and/or less painful. If other means are available, self-immolation just doesn't have much going in its favor, so it's a method of last resort.