How come withdrawal reflex do not function in case of people who self harm/cut themselves?i guess it should stop them from causing any serious damage?

Overrride the reflex: The withdrawal reflex (like many) can be voluntarily overridden. Conscious override lets you hold on to hot objects, etc. People who cut themselves can indeed seriously damage themselves to the point of death or permanent damage. These people need help so that they can work through these feelings and not cause further harm.