I am wondering if anyone knows the answer to this.
Why would a self-publishing company not want you to copyright your work or even have the copyright statement in the book. I was reading a company's instructions and it stated that.
Any info is appreciated.

Your work is automatically copyrighted as soon as it's written.

A self-publishing "company" is YOU. Or do you mean a vanity press or subsidy publisher? While different "self-publisher" companies or vanity publishers offer different levels of assistance with, and support for, the publishing process, "self-publishing" services come at a price--paid for by the author.

Be careful about your book's setup and formatting. And be careful what you agree to, especially if you sign a contract. My nieces were published by a vanity press that managed to get $6,000+ out of them with very few sales to show for it.