When I read "self-improvement" I don't immediately think "investment to enhance one's future earnings," though I admit it does make some sense. The endogeneity problem largely disappears if you define your utility in monetary terms, but uncertainty still abounds, and actual problems may remain (most noticeably, self-investment may lead to lower utility if it doesn't pay off, since you feel like you're worth more than you get; while important, this is not reflected in a purely monetary model). Since your actual concern is probably utility and not money, that issue is significant.

Also, "transhumanist brain modifications" are hardly necessary to generate utility function changes. Most forms of self-improvement in the personal (as opposed to professional) sense are likely to either require or result in changes in one's utility function.