True self-evolution requires agents to act as lifelong learners that internalize novel experiences to solve future problems. However, rigorously measuring this foundational capability is hindered by two obstacles: the entanglement of prior knowledge, where ``new'' knowledge may appear in pre-training data, and the entanglement of reasoning complexity, where failures may stem from problem difficulty rather than an inability to recall learned knowledge. We introduce SE-Bench, a diagnostic environment that obfuscates the NumPy library and its API doc into a pseudo-novel package with randomized identifiers. Agents are trained to internalize this package and evaluated on simple coding tasks without access to documentation, yielding a clean setting where tasks are trivial with the new API doc but impossible for base models without it. Our investigation reveals three insights: (1) the Open-Book Paradox, where training with reference documentation inhibits retention, requiring "Closed-Book Training" to force knowledge compression into weights; (2) the RL Gap, where standard RL fails to internalize new knowledge completely due to PPO clipping and negative gradients; and (3) the viability of Self-Play for internalization, proving models can learn from self-generated, noisy tasks when coupled with SFT, but not RL. Overall, SE-Bench establishes a rigorous diagnostic platform for self-evolution with knowledge internalization. Our code and dataset can be found at https://github.com/thunlp/SE-Bench.