That's an interesting question, but I can only think of an answer that renders the question trivial.
Before that, however, I would like to remark that you should not call it "self-energy". Your expression for W (after integration over δW) is simply the energy contained in the electric field E generated by the charge density ρ(x). The term "self-energy" specifically refers to the question of how the energy is to be interpreted for an isolated point particle, say an electron at position x0, which corresponds to a charge density ρ(x)=(−e)δ(x−x0). Does the electron "feel" its own electric field, thus contributing to the energy W? This seems impossible, because the integral is infinite in this case. Fortunately, in the case of *continuous* (or just *bounded*) charge distributions, the integral is well-defined and the "self-energy" problem is moot.
Now, concerning the question proper. There are two effects at play here: The electric field is generated ("emanates from") the charge distribution ρ(x). This is Gauss' law. On the other hand, it also acts exerts a conservative force on the charge, i.e. the Lorentz law F=ρE. These seem to be independent laws, changing either one of them will yield a different expression for the energy density. Your question is whether we can (at least formally) change these laws and obtain something that prohibits the definition of a total energy.
However, there is also the Lagrangian formulation of electrodynamics. Typically, a conservative system always has a Lagrangian formulation. (And this slight overgeneralization is what renders the question trivial, because you were only asking about the force being conservative, not the combined system force + charge, whatever that is exactly.) There, the interaction between electrons and field is mediated by an integral over a simple product ∫d3xdtAμjμ. In particular, the contribution of the electric potential ∫d3xdtA0ρ. This term encodes *both* the force that the electric field puts on the charge *and* how the electric field is generated by the charge, as can be seen by functional differentiation with respect to ρ(x) and A0, respectively. So, regardless of how the other terms of the Lagrangian look like, this interaction energy will stay the same, and you will always get a well-defined energy for a charge density after solving for A0.
Unfortunately, this answer seems circular, because the result we got out — the ability to define an energy density for the charge ρ(x) — is something we already put in — the assumption that the physics are described by an interaction energy ∫d3xdtA0ρ in the first place.