Interesting. As many grafted cacti they sell here, I've only seen a couple in bloom (in say... six years?). I'm not aware of any cactus as being able to self-pollinate though, so you are probably right in that's how the ones at the store have seed pods.
Maybe just give it more time to open then? I did notice that my Gymnocalycium mihanovichii var. friedrichii had two flower buds that were large enough to open, but didn't want to open. I realized around that time that the window I had my cacti and succulents in was too dim, so I placed it outside. As soon as it received enough light, they opened.
Where do you have your cacti placed? Not saying it's a light issue, but I'm curious as that's what it was for me.
Planto
