There were no self-destruct systems on the shuttle orbiter, though there were on the solid rocket boosters and external fuel tank. They were used only once, on the Space Shuttle Challenger after the orbiter broke up, but the SRB's were still burning in an uncontrolled manner.

Don't worry, unlike the space shuttle, rockets have escape mechanisms. In that specific case, the astronauts would probably have survived as the emergency rocket thingies would have fired and evacuated them far from the explosion before it could reach the capsule.