That MDN link is wrong (IMHO) when it says those type of inline events should not be used.
https://javascript.info/introduction-browser-events has a better and more complete explanation.
this.onclick = (evt) => { } is perfectly valid when used in the connectedCallback of a Web Component,
because the outside world should not have anything to do with a Web Components internals, and this.addEventListenerer("click",(evt=>{ }); (which does the same, but allows for multiple events) is just longer,
and implies using a not required removeEventListener because listeners on DOM nodes (the Web Component) are garbage collected, thus automatically removed.
Note <my-component onclick=" "> is a different notation for the same this.onclick handler. If you really need to add a click handler in HTML you might want to do <my-component onclick="this.getRootNode().METHOD()"> to call a method on your Web Component.
this.onclick = ()=>{ } will override your HTML defined handler.
NOTE
thanks for reminding me, Kaiido