Will this plant self seed and come up again next year?
It will depend on your soil and winter conditions. Lobelias are considered annuals, meaning they aren't "supposed" to come back each year, but I've had several annual plants that did self-seed when the conditions were exactly right. I wouldn't count on it, though, since Lobelia seeds are so tiny...they probably wouldn't survive a harsh winter climate. Here's an article that provides some tips on Lobelia care:
Both annual and perennial Lobelia will self sow if the conditions are right.