Is the fact that spraining my ankle is bad for my welfare something that exists
It certainly would seem to be. After all, if my ankle is sprained it gets in the way of doing things I need to do to take care of myself - whether I recognize this or not. Compare: it's pretty clearly bad for the welfare of an animal if it has a broken leg, even though the animal may not be able to understand this.
Of course we can dream up one-off cases where having a sprained ankle might be good for your welfare. For example, having a sprained ankle might keep you out of pointless combat. But even in that sort of case, it's not a matter of my opinion. Generally speaking, not getting shot is better for your welfare than getting shot!
There is a wrinkle, however. If someone who is neither crazy or confused wholeheartedly embraces preferences that go against what we normally take to be for one's welfare, it's not so clear that we can simply say that they are wrong. Sharon Street has interesting things to say on related matters. If you have access to a University library, you might find this paper worth a read.