Inductor's self-resonant frequency: Do we want it to be high or low?
In this case, is it smart to use an inductor with SR frequency below 1
  MHz or over 4 MHz?


Above the self resonant frequency the impedance of the "inductor" is capacitive i.e. it stops being like an inductor and exhibits the net impedance of a capacitor: -



A better picture would be the magnitude of the impedance: -



The inductor (and parasitic capacitance) form a parallel tuned circuit.

It's the same with capacitors - internal inductances will generally mean that at some arbitrary high frequency a capacitor will behave like a series resonant LC: -