I was told I should not file self-employment on my taxes because the would put me in TROUBLE with IRS OR UNEMPLOYMENT.

You were technically "employed" by unemployment and drew a "salary" i.e. your weekly benefits. You can't file self employment as you will owe much more in taxes than you would if you filed that you were employed by unemployment.

Were you self employed at a time other than when you collected unemployment?

If you were self employed and collected unemployment ( and did not report those earnings, that is a seroius fraud and could land you in serous legal trouble