I might get a bit technical here, forgive.
My claim is that they can but will not consume their own magic because it is pointless.
Consider the mage as an entity of energy. With the dragon slayers, when they consume their element, they get a boost in energy which they use to fight (Gajeel consuming steel, Wendy consuming air, ...and so on). I presume they are using these elementals to top up on their depleted energy of to give them a boost.
If they were to eat their own magic, it will give them a boost but it would only return them to the level of energy they had before they produced that bit of magic. They see no gain in doing such. To produce magic, they have to use some energy. This energy has been converted from them into the elemental. When they consume it, it goes back into them. Arithmetically,
x - 1 = x' where
x is the amount of energy they originally have and
x' is the amount of energy they have after producing the magic. Consuming the magic they produce will be
x' + 1 = x which merely returns them to the starting point.
In the case of consuming their element which they did not produce, arithmetically, that would be
x + 1 = x*, where
x remains as above and
x* is the augmented energy level. This augmentation is made possible because this energy did not originally reside in them.
So yes, they can eat their own magic but it would be pointless