I do actually see the evidence in support of this theory, but what I'd like to throw in in support of the counter theory (he was actually trying to heal himself, he just didn't manage in time for later) is that to me he does look genuinely surprised when he is not healing as he expects. There's also that pause (if I said this to you before, apologies, I'm not trying to be badgery! just putting things on scales *g*) when he says the "Fortunately I'm used to getting injured" that I find it quite plausible he was originally going to echo something he said earlier, which is "Fortunately, I heal quickly". And then he stares down at his arm and realises that in fact he doesn't, so he pivots.

(The other thing, just from general "tone of the scene", that for me falls on that side of the scale is that the conversation with Zhao Yunlan in the wake of the cutting sounds more about "you are going through pain and suffering for me", not "you're killing yourself for me". Which isn't obviously bulletproof, as Zhao Yunlan simply has no way of knowing, but the way that comes across to me is that they're having the same conversation, not one about hurting yourself and one in Shen Wei's head about exploding yourself.)

Just as potential counter-points!