In Azure Active Directory -> Groups -> General I enabled the self-service group membership. The first option to enable it is easy, the second is a bit confuse if it should be set as Yes or No and I found both information in different sources. I tried both.

Security Groups self-service is enabled:

I created two new users to test the self-service feature. I tried to access the self-service portal (https://myapps.microsoft.com) using one of the accounts. The myApps appear to work fine, but when I change to group management, I get an error message. The following one: