Why does the concept of self interest stick in the craw of progressives.

It doesn't. That's the point. As you note, every country always follows policies with its own interests in mind, and always recognizes the possibility that pursuing and expanding international relationships might be the best course in those contexts.

But America has always done this. Democrats always did this. Democrats have often regarded pursuing and expanding international relationships as a very important part of pursuing our national interests, to be sure - but that's why they pursued various foreign policy objectives. Presumably, the doctrine of "America First" has meaning. It can't simply mean that America has interests - no person on earth has ever argued otherwise. If it means anything, it must mean that American interests have to be prioritized above the interests of other countries in a way that is different than we historically have done.

So if we're advocating that type of reorientation, why would Greenland do anything different? Why wouldn't they follow "Greenland First" - and if their national interests don't involve taking our security interests into account, they wouldn't (and presumably shouldn't) do so?