Can a set refer to itself in its own definition / define itself in the above way? Is the above set a set?
variant: A word w is a member of a language L iff it is a member of language L, ie. the condition for w's membership to L is that it be a member of L.
Is there a proof for the fact that this language is undecidable due to this self-reference, due to the fact that this language might not be a set? Can you say a language is not decidable because it is not defined? Or is simply outside the bounds of computability theory? Or is this a property of every language and is totally fine?
No. This is what's known as an impredicative definition. This is, instead, a true statement about all sets, distinguishing none over any of the others.
In certain circumstances, we do define things implicitly, meaning we provide some conditions for an object to satisfy, argue that there is a unique object satisfying these criteria, and then proceed to use this unique object in our calculations. Probably the most elementary examples of this are recurrence relations, e.g. $$x_n = x_{n-1} + x_{n-2}, \quad x_1 = x_2 = 1.$$ Note that, as a definition, this would be impredicative. But, it can be proven (with induction) that there is one and only one sequence whose terms satisfy these conditions. This is how we typically define the Fibonacci sequence, not with a formula, but implicitly, with this relationship!
But, as I said, your example cannot function as a definition, simply because every set satisfies this condition; you don't get the uniqueness required for an implicit definition.
I wouldn't say this makes $L$ undecidable, so much as undefined.