It all depends on what you want to do. When you submit a form with ajax turned on the response returned from the server is injected into the DOM and then jQM tries to navigate to that content, assuming it is a page ... and cant find it.
If your server response is enclosed in a data-role="page" element, your form would probably work fine with ajax turned on. With that said, your self-submitting form has to be written such that your server response on submit returns just the following ( and nothing else - not even js & css includes in the header ... no header )
Just for the record, I am NOT arguing with the fact that this might work, I am just curious why this is not documented, nor implemented like this on the demosite. If you have any info to enlighten me, that is much appreciated! :)