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If a spell actually doesn't target anything, then doesn't it also not affect anything?

Since the spell affects yourself, then it must be targeting yourself. Even if there is a big blank space where the targeting line is.

Is there actually a printed rule somewhere that says that spells that affect yourself should not be considered to be targeting a creature (yourself)? That is what I am looking for. Somewhere that says:

needed rule wrote:

A spell that does not have a target line cannot be used for feats, abilities, or effects that require a spell with a target.

Similarly, could you use Lightning Bolt with Striking Spell? It also doesn't have a 'target: single creature' line. It is possible to affect only a single creature with the Lightning Bolt.

How about if you use Capture Spell when you get hit by a Lightning Bolt? If you succeed at the save, could you capture it?

This is one of those cases where "target" is both a technical term and a plain language term and they get confusing. Unless someone has a FAQ/Clarification somewhere I can't find, we don't have any such advice for reading Target as a technical term. If they mean "Has a Target Line that contains One Creature/Object" then the number of spells you can Spell Strike is pretty limited. There's nothing in the actual rules that suggests an Area spell targets a Creature or an Object - the Target/Area rules only ever refers to "Affect" rather than "Target" with Areas. And even a plain language reading of "Target" can separate "Affect" and "Target" as categories.

To some extent, there's an issue of the tension between needs balance between "Can drop a high level spell into an attack" and "Can't reliably drop any spell into an attack". I broke it down elsewhere, but "Can do about a cantrip of extra damage once a turn on an attack for one extra action" is kind of the general baseline for melee attacker/skirmishers, in EXTREMELY rough terms.
As such, random idea: Spell Strike was a 2-action that only worked with Cantrips, but gave you both the cast and the Strike, and skipped Spell Hit - you can super reliably throw damage cantrips through Spell Strike for 2-actions, but Saves still needed to happen. Your (very limited) spell slots then wind up a mix of utility and combat effects, but they're far less likely to just wind up wasted. You've got an action spare for movement/adjustments, you have a reasonably decent attack booster that can be a go-to, but you don't need to worry about it comboing as hard with high level spells.
This also gets you some room to add a combat casting analogue, maybe something like "After you Strike (but not Spell Strike), reduce the number of actions to cast your next spell by 1 to a minimum of 1 action" - you still suffer MAP, but it gives you some room to strike, throw a 2 action spell with MAP, then move as long as you're not spell striking.

I feel like the core Magus concept has been "Imbues their weapon with magic and discharges it with physical attacks", not "Is good but not exceptional with both weapons and magic". They need to be good at both to some extent to fulfill the first concept, but there's a bunch of ways to do the Gish in general with Archetypes now that are probably as good at just mixing Warrior/Caster without "Imbues their weapon".

If that isn't intended to be the Magus's concept, then I'd probably say Spell Strike shouldn't be a default part of the class, because the default, up front options signal "What does the class want to do", and putting Spell Strike up front signals that the Magus's game play should have "I imbue my weapon and discharge it with a physical attack" as a core element. Especially since Synthesises provide a SECOND effect which rides on that. If Spell Strike is going to be that central to the class, it should be a rewarding part of the game play loop, and you should want to choose it over other options on the regular, which I don't feel like happens now.

The Magus is intended as a short-range skirmisher, so as a quick and rough thought experiment, let's compare Spell Strike with other Close Range Skirmish Mechanics designed to boost damage. Not spending a lot of effort on feat support or super aggressive optimization - looking mostly at the core ability, what it does, and what the very rough baseline expectation is for this kind of character. I'm also not doing War-Priest - others have done that kind of breakdown.

Rogue: Sneak Attack: Similar Damage to a Cantrip. Requires Flanking/Other Source of Flat-Footed. Can happen multiple times a turn. Requires an accuracy boosting condition, but contains none on their own. Some support. Requires Agile Weapons, which limits weapon damage value.

Ranger: Hunter's Edge: Your choice of: 1/Round Cantrip damage or reduced MAP. Upgrades a bit to be better than a Cantrip if you can reliably hit multiple times, or a pretty significant MAP boost. Single chosen target at a time, 1 action to refocus it.

Monk: Flurry of Blows: Two Attacks. No MAP or accuracy boost, just Action Economy boost. Gets some useful options via Feat, but not really raw power. Once per turn, but opens up a ton of options to get multiple attacks and move. Very limited weapon selection without feats.

Barbarian: Rage: Kinda roughly Cantrip damage per attack when raging. Gets a ton of support options in Feats. 1 action to activate, then stays on for a while. Reduced damage with Agile Weapons.

And for fun, even rougher APG comparisons:
Swashbuckler: Once you get Panache, you're looking at better than Cantrip damage per turn if you reliably finisher. Limits your attack options and weapon choices. You have your choice of skill options to gain Panache.

Investigator: Cantripish damage once a round - chance of being free, but nominally one action plus the attack.

So what I'm seeing is that your Melee Skirmish classes tend to have a free Cantrip (1-5d6) of damage on at least one attack per turn as a baseline, or a strong MAP negator or Action Economy Booster. Right now, Magus has pretty much none of that, and the very limited spell slots don't really give them some kind of overwhelming utility to make up for it.
I'm guessing the reduced Casting Proficiency on the Magus is to incentivize Spell Striking over just Casting and then Striking, but the end result of it is that the Magus is going to wind up missing a lot of spells and doesn't have too much reason to Spell Strike with damage spells anyway - you REALLY want to use spells that trigger a Saving Throw and thus can bypass some - but not all - of these drawbacks. Allowing Damage Spells - even non-cantrips! - to not need a separate hit roll would probably help bring Damaging use of Spell Strike into a substantially better place, even if the spell couldn't crit. Maybe I'm overlooking some spells that would work exceptionally well here, but I definitely feel like Spell Strike feels really underwhelming.