Hej Anders,
The issue you describe isn't an issue. However, there is in fact such an issue. Just not in sequence diagrams.
Makes sense?

The issue you describe is by design. In any toolbox, the connector page only shows some of the connectors used (permitted) in that type of diagram.
What connectors are permitted depends not just on the diagram type, but on the source and target element types as well. That's too complex to put in a toolbox, so Sparx just makes a selection available. The quick linker takes the element types into consideration so that's a better way to create connectors. (But not perfect.)
But this isn't your issue. Your issue doesn't really exist.
Here's how it works.
Iternally, there is only one connector used in sequence diagrams, named Sequence. It's labelled Message in the toolbox, but that's just a label.
A Sequence connector has a Synch property, which can be either Synchronous (default) or Asynchronous. It also has a Kind property, which can be either Call (default) or Signal. Signal is only available if Synch is Asynchronous.
So when you create a new connector, a Call is what you get. To make it a Signal, you have to change two properties.
To create a self-message, simply draw the connector back onto the timeline where it starts.
Recursion isn't a sequence diagram connector. Not sure where you got that from.
HTH,
/Uffe