It is not because a self IP address isn't created; you can create virtual servers and pool members with arbitrary addresses, regardless of whether or not the LTM participates in those IP networks. The problem is that you cannot create self IP addresses, virtual servers or pool members on the management network. Traffic processing and the management port must use different IP networks.
This does not mean that they cannot use the same L2 network, just that they must be on different L3 networks. When I am faced with this scenario, I use the console to create a vlan and a self IP. I set the management port to an address on some irrelevant IP network. This is not ideal, but it will work fine.
Nimbostratus