1. Correct, an interrupt cannot interrupt itself.
CR v3.0:Interrupt (710.1e): A link that is interrupted gets removed from the chain and does nothing. If that link is a card, it’s put into its owner's graveyard. If a link is interrupted, the entire text of the link is interrupted. Interrupted links don’t create modifiers, put cards into play, or affect the game in any way. After a link is interrupted, the turn player gets priority. A link can’t interrupt itself. A card can be interrupted only while it’s on the chain. A card in any other zone is not a legal target for interruption.
2. Not 100% correct. Spell Ricochet cannot be used to change the target of Mystic Denial to itself as a link can't interrupt itself. However, you can change the target of Mystic Denial to Spell Ricochet. Removing a card from the chain is the very last thing that is done when resolving a link, so it will still be there while you are processing its text.
CR v3.0:709.2g As the last part of resolving a link, one of the following happens:
• A proposal effect leaves the chain and a combat step begins.
• A non-proposal effect creates one or more modifiers and then leaves the chain.
• An ally, equipment, or resource enters play (710).
• An ongoing ability may create one or more modifiers and then enter play (710).
• A non-ongoing ability creates one or more modifiers. Then, if it’s still on the chain, it’s put
into its owner’s graveyard.
Edit: I misread number 2. You could change the target of Mystic Denial to a card added to the chain after Mystic Denial was played. The only target requirement for Mystic Denial is that it must target a card and since it is an interrupt effect, it must target a card that is on the chain. There is no requirement that the targeted card had to be on the chain before Mystic Denial.
CR v3.0:711.3 A card can be targeted (706) for interruption only while it’s on the chain, unless it’s been placed there (412.1). Cards that have been placed on the chain and cards in any other zones can’t be targeted for interruption.
Andy Danielson
World of Warcraft Rules Knowledge level 1
Player Management level 1