Because it gives us a sense of identity. It's all concerned with me. Ignorance likes to hold onto this sense of me because it hasn't got enough understanding of the Unselfish Emotions. It hasn't got enough understanding that, when we let go of thoughts of self, we actually let go of our Dukkha. Holding onto self-pity is just a matter of lacking wisdom and the unselfish emotions towards ourselves, and not having developed this emotional maturity or cultivated the Brahma Viharas to a higher level. When we develop the Brahma Viharas (Compassion, Lovingkindness, Sympathetic Joy and Equanimity) to a higher level, we get an emotional maturity coming from insight into non-selfishness and the insight that by letting go of selfishness and of this sense of me, there is a fading away of Dukkha and the arising of spiritual happiness.
Perhaps if we have a lot of self-pity, more focus needs to be put on the development of the unselfish emotions in a balanced way. Sometimes we focus too much on one or the other of the qualities and don't develop them at appropriate times and together. For example, if we have a tendency to like to control things, perhaps working on Compassion and Lovingkindness all the time may not actually help us at that time. In that situation, we may actually need to develop more Equanimity and understand that everybody is the owner of their own Kamma and get insight into the Three Characteristics of Existence, especially the last characteristic of Anatta, that some things are beyond our power to control.
Holding onto self-pity gives us a sense of identity. Sometimes it comes because we feel we need attention and are unable to give love and a healthy attention to ourselves. Are we able to give ourselves Compassion so that we don't seek it so much from others? Often, this self-pity is a seeking of attention to let everybody know that we are suffering: "I'm suffering. I need your Compassion." This sense of self-pity often comes from a need for attention for a sense of being of importance, for a sense that someone will love me, someone will have Compassion for me. We need to learn how to give Compassion to ourselves - the most important person to whom we can give Compassion because if we seek it from everybody else, we may not get it. We may get the opposite to what we're wanting, and then aversion arises: "They don't give me what I want!" Then this strengthens the cycle of self-pity: "Nobody will have Compassion for me." This strengthens and strengthens until, hopefully, eventually, either your own wisdom kicks in or you feel the suffering enough that you realize this not the way out suffering. The way out of suffering is not to seek others' Compassion, but to learn how to give it to ourselves.
Seeking the attention of others, or gain, or pleasure, or praise is not the way to feel secure because it's so undependable. Sometimes we're seeking praise and we get blame. Sometimes we are seeking gain and we get loss. And when we get loss, a lot of self-pity comes up: "Why did I have to lose it. It's mine!" Ignorance. Is anything ours? Sometimes when people lose their mat in the hall, they have an idea that it is "their" mat, but it isn't really their mat and it isn't really ours, either. It actually belongs to nature. It doesn't even belong to us, but we make things that are not ours into things that are "mine," When we lose something, we feel sorry for ourselves because we lost what is "mine," but it was never ours.
So self-pity comes from ignorance and, basically, a lack of insight into the unselfish emotions. Hopefully, after we feel the Dukkha of this craving enough - this craving for attention, this craving for Compassion, this craving for other people to take some notice of us - we'll see the unsatisfactoriness of it. Fortunately, most of us have had some practice in the unselfish emotions, so we know the difference between the feeling of the unselfish emotions and the feeling of emptiness and longing that comes with self-pity. That's a big one. A lot of the time it's also non-acceptance of Dukkha. I could go on and on and on about self-pity but I probably I wouldn't be able to get thorough the rest of the questions.