@XanderHenderson I do "self-pings"/"self-replies" quite a lot. You are right that that it does not make sense from the point of getting some user's attention. But sometimes the arrow at the beginning might be useful to indicate to other users what I am replying to or which line of discussion I am continuing.
@MartinSleziak I guess that in my mental model of how chat works, that isn't a ping so much as a reference to a previous statement in a thread. The ping is a side effect.
Though, I suppose, if you want to ping yourself, that is a way of doing it.
@XanderHenderson Perhaps it is worth mentioning in your answer that for messages of other users you can user the "reply" link. But to add reply to your own message, you have to enter the number of message manually.
And it was clever to use this room as an example, since it is at the same time an advertisement of this room. I thought about using sandbox to demonstrate this, but you were faster in posting an answer. :-)
@geocalc33 I have one tried to start a room with discussions about MathJax (and experimenting with MathJax) in mind, but it did not last too long: chat.stackexchange.com/rooms/info/13752/mathjax
@geocalc33 I think that the best way to learn $\LaTeX$ is to just work with it. Start typing up your homework or lecture notes. When you get stuck on something, Google it. Or peruse TeX - LaTeX.