You cannot generally scan your own machine from itself (using a loopback IP such as 127.0.0.1 or any of its registered IP addresses). This is a Windows limitation that we haven't yet worked around. If you really want to do this, use a TCP connect scan without pinging (-sT -Pn) as that uses the high level socket API rather than sending raw packets.
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Nmap only supports ethernet interfaces (including most 802.11 wireless cards and many VPN clients) for raw packet scans. Unless you use the -sT -Pn options, RAS connections (such as PPP dialups) and certain VPN clients are not supported. This support was dropped when Microsoft removed raw TCP/IP socket support in Windows XP SP2. Now Nmap must send lower-level ethernet frames instead.