The quantum self-trapping phenomenon of a Bose-Einstein condensate (BEC) represents a remarkable nonlinear effect of wide interest. By considering a purely dipolar BEC in a double-well potential, we study how the dipole orientation affects the ground state structure and the transition between self-trapping and Josephson oscillation in dynamics. Three-dimensional numerical results and an effective two-mode model demonstrate that the onset of self-trapping of a dipolar BEC can be radically modified by the dipole orientation. We also analyze the failure of the two-mode model in predicting the rate of Josephson oscillations. We hope that our results can motivate experimental work as well as future studies of self-trapping of ultracold dipolar gases in optical lattices. ; Comment: 9 pages, 5 figures, corrected a missing factor of two in one equation, to be published in Physical Review A