In addition what @OmegaStarScream have been mentioned above.
You can moderate self-moderated thread to delete other user post, but you shouldn't abuse it by using that's power if someone disagree with your thought. Constructive criticism post is considered as high quality post too and this forum has free speech. I don't know what's your purpose to create self-moderated thread, if you can't moderated a thread you can still report to moderator and let them decide.
AFAIK certain boards doesn't let you to create self-moderated thread, so don't surprised if you didn't find it.
the reason I wanted to be a moderator on my own thread was after I read that it turns out that I can moderate my own posts in a thread on the board. then I remember seeing a thread where the reply post was completely unrelated to the topic being discussed. and there the avenger even promotes a website. but now the reply may be gone because the moderator has deleted it. although the existence of the reply post is a bit long. so I think it will be very helpful if I can moderate the topics I create myself. so it helps the existing moderators a little.
at least I don't want spam to appear in my post later.
although I'm not sure when to use this feature. but maybe one day when I make a serious discussion topic this is what I really need.