Functions from the functional module (called F in your example) are functions (hence the module name)
The other elements in nn are Modules. So you need to first create an instance of it: self.my_selu_instance = nn.SELU(inplace=False) and then you can use it x = self.my_selu_instance(self.fc2(x)).
So the updated code would be:
    def forward(self, state):
        """Build an actor (policy) network that maps states -> actions."""
        # x = F.relu(self.bn1(self.fc1(state)))
        # x = F.relu(self.fc2(x))
        x = nn.SELU()(self.bn1(self.fc1(state)))
        x = nn.SELU()(self.fc2(x))
        return torch.tanh(self.fc3(x))

Or even nicer:
    def __init__():
        # Original code
        self.selu = nn.SELU()

    def forward(self, state):
        """Build an actor (policy) network that maps states -> actions."""
        # x = F.relu(self.bn1(self.fc1(state)))
        # x = F.relu(self.fc2(x))
        x = self.selu(self.bn1(self.fc1(state)))
        x = self.selu(self.fc2(x))
        return torch.tanh(self.fc3(x))