The phrase is very formal. We see it more often in English literature like your example from Pride and Prejudice. I agree with Wyatt that in conversational English we would say something like, "I don't know him personally".

That sounds very proper. I would say I personally don't know him.

It is a sentence, not a phrase. As a sentence, it is perfect. There is nothing at all wrong with it. The role of the reflexive pronoun "myself" is to emphasize the pronoun "I". Reflexive pronouns work best for emphasis when they are placed directly next to the pronoun they emphasize: "I myself am not acquainted with him."