Play "against" is impossible, for some. They will get in a position and begin to "pull" for one side. Play with yourself to learn is one way to put it, and more realistic. I will set up the board in a random way, legal or not legal positions and begin from there. Lessening the tendency to pick sides.
It's not, just go to Learn > Analysis. There you can play against yourself.
Magnus Carlsen was making a video, maybe for his app advertisement, and he said something like "it's good to play with yourself" and then he said "that didn't sound quite right." He laughed, the camera crew laughed, everybody had a good laugh. It was part of the bloopers.
its not logicsl to play yourself. winning at chess is based on opponent's mistakes.. and mistakes are based on your plans and tricks. you are aware your own plans, how can you trick yourself?
You can play against yourself if you go to "Learn" > "Analysis".
It's a good way for testing out openings and trying out multiple lines of attack and responses.