Observations suggest that protoplanetary disks have moderate accretion rates onto the central young star, especially at early stages (e.g. HL Tau), indicating moderate disk turbulence. However, recent ALMA observations suggest that dust is highly settled, implying weak turbulence. Motivated by such tension, we carry out 3D stratified local simulations of self-gravitating disks, focusing on settling of dust particles in actively accreting disks. We find that gravitationally unstable disks can have moderately high accretion rates while maintaining a relatively thin dust disk for two reasons. First, accretion stress from the self-gravitating spirals (self-gravity stress) can be stronger than the stress from turbulence (Reynolds stress) by a factor of 5-20. Second, the strong gravity from the gas to the dust decreases the dust scale height by another factor of $sim 2$. Furthermore, the turbulence is slightly anisotropic, producing a larger Reynolds stress than the vertical dust diffusion coefficient. Thus, gravitoturbulent disks have unusually high vertical Schmidt numbers ($Sc_z$) if we scale the total accretion stress with the vertical diffusion coefficient (e.g. $Sc_zsim$ 10-100). The reduction of the dust scale height by the gas gravity, should also operate in gravitationally stable disks ($Q>$1). Gravitational forces between particles become more relevant for the concentration of intermediate dust sizes, forming dense clouds of dust. After comparing with HL Tau observations, our results suggest that self-gravity and gravity among different disk components could be crucial for solving the conflict between the protoplanetary disk accretion and dust settling, at least at the early stages.