It is perfectly fine to protest over things that you do not agree on. You can have peaceful protests and all sorts of things like that. But setting yourself on fire is just way over the moon. You shouldn't be doing things to yourself that can be life threatening in order to send a message.
The man that set himself on fire in a protest with the flag truly went to far. Peaceful protests are a thing and, according to history, tend to be more effective as well. By setting himself on fire, all the man was enforcing was more violence and disrespect for human life.
It is perhaps considered noble to sacrifice oneself for a greater cause, and in many cases, this is very true. Famous examples like Rosa Parks come to mind when you think of those who risked punishment to stand up for what they believed. And the results of their stances, which bore great risks (even death), make their courage all the more commendable. However, I do believe that sometimes the way in which protest is carried out takes away from the cause. Burning oneself as an act of protest is one such way that I think this happens. Attention is somewhat diverted from the cause due to the horrific nature of the act itself. It leaves some people questioning the sanity of the protester and perhaps, the legitimacy of the cause he was protesting for.
Yes, protests sometimes go too far. This is especially true if someone sets him or herself on fire for a protest. It does not make sense to believe that this is an appropriate protest that should have taken place. Furthermore, it does not make sense to believe that a man setting himself on fire is actually an effective protest. People will ignore the message in that instance.
Yes, it is very tragic when a person sets fire to himself in protest of something. There are better, safer ways to protest. There are peaceful sit-ins. There are candlelight vigils. A person can stand on a busy street corner and hold a big sign with his message. But setting himself on fire is just too much.