Why is betting on yourself in a sporting event considered unethical?

The problem isn't being on yourself to win - it's on the matches when you don't bet on yourself. Consider a situation where I bet on myself to win in 9 out of 10 matches, but then didn't bet on the 10th match. Am I going to try quite as hard, knowing that I'm (effectively) getting paid less for a win?

First for NFL, MLB, NCAA, NBA, and other US sports entities it is outlawed because of player's involvements with bookies and betting rings. MLB isn't worried about a pitcher that wants to bet on himself against a bad team. MLB is afraid that the pitcher will make relationships with bookies, could possibly lose money, and then play differently or provide inside information to pay off debts.

With team sports in general it isn't about betting on yourself or why didn't you bet on yourself, it is just the hovering cloud of impropriety too. For instance Pete Rose bet on his team many many times. When he was a manager did he overuse his bullpen to gain a win on bet day?

Second point is that players can bet on themselves in some sports. Depending on the country you are in it can be legal to wager on yourself on tennis (heard many players doing this on tour), golf, and boxing - and I am sure there are many more.

I partially agree with you. But I think they're not allowed to because people would watch and see when they DON'T bet on themselves to win. Then of course that would be noticed by everyone making bets and mess with the gambling world, plus it's suspicious when you don't bet on yourself. That could definitely be used as evidence in court of someone shaving points on a game or throwing it. "Your honor. He bet on himself every single game except this one. And this is the 1 game he lost." That looks extremely suspicious.