http://www.cisco.com/en/US/docs/ios/12_2s/feature/guide/fs_bgpnh.html#wp1043334

Do not use the neighbor next-hop-self command to modify the next hop attribute for a route reflector when this feature is enabled for a route reflector client. Using the neighbor next-hop-self command on the route reflector will modify next hop attributes only for routes that are learned from eBGP peers and not the intended routes that are being reflected from the route reflector clients. To modify the next hop attribute when reflecting a route, use an outbound route map.