Hello Ruben
It seems that this is normal behavior. This Cisco BGP documentation states the following:
Do not use the neighbor next-hop-self command to modify the next hop attribute for an RR. Using the neighbor next-hop-self command on the RR will modify next hop attributes only for non-reflected routes and not the intended routes that are being reflected from the RR clients. To modify the next hop attribute when reflecting a route, use an outbound route map.
However, in this Cisco command reference of the neighbor next-hop-self command, you can override this behavior using the optional all keyword in the command, so that the reflected routes will also have the next hop modified.
I hope this has been helpful!
Laz