Self referential loops in the brain may indeed be the mechanism for our sense of self awareness but to go on and say this makes consciousness any less mysterious is a non-sequitur.

How would any combination of neurons and interconnections between the neurons (feedback loops or not) explain the emergence of a subjective first person experience i.e. consciousness

This might be a confusion of words and not reality. If you define consciousness as self awareness then we are talking about two different things.