I'm curious - how are you throwing paint grenades so that you're getting hit by them? They should be really easy to dodge considering you control where they go. Yeah, every once in a while you have a teammate jump in front of you as you're throwing, but that's pretty rare and should only be happening on pubs unless your clan is really uncoordinated. Frankly, if you're so bad at throwing grenades that you're hitting yourself, you deserve to be killed by them.
As mentioned before, losing ammo or CO2 for hitting yourself with a grenade just doesn't make sense. Also, you may not be aware of this, but the self kills are only applicable on servers that have impact grenades enabled or if you use primed grenades (+tossgren). If you use the old style timed grenades (luck bombs) on a server that has impact grenades disabled, they don't self-kill (because I had some people whining and crying about how they couldn't use grenades like they used to).