Eh... why would including English help?
Ideally you keep each language in their own language so it can be recognized by native speakers. Flags help. Adding English to the native name... does not.
And of course if you're selecting a country, not a language, then it makes sense for the country list to be in the language you have selected. Why would you not know the names of countries in the language you chose for the interface? As somebody points out below, those are not language names in the screenshot.