Self-hosted means that it will be served from your own servers, and thereby your own domain. So unless your domain is on a block list, it will be loaded.
EDIT: Sorry, I've been dealing with uBlock Matrix for too long, and forgot how advanced the other blockers pattern matching is. See the many responses to this for better information.
The EasyPrivacy block list contains an entry that will block the piwik.js file. Of course, when you're self-hosting, it's trivial to serve that file with a non-default name.
That's an interesting choice. I mean, it's not like you can hide from the web server that you are making the request. But then again, I'm assuming -- by the sheer necessity of having a JS file -- that they are collecting some additional metrics not available to the server in the request.
EDIT: Sorry, I've been dealing with uBlock Matrix for too long, and forgot how advanced the other blockers pattern matching is. See the many responses to this for better information.