We investigate the electronic structure of (Sr$_{1-x}$La$_x$)$_2$RhO$_4$ using a combination of the density functional and dynamical mean-field theories. Unlike the earlier local density approximation plus Hubbard $U$ (LDA+U) studies, we find no sizable enhancement of the spin-orbit splitting due to electronic correlations and show that such an enhancement is a spurious effect of the static mean-field approximation of the LDA+U method. The electron doping suppresses the importance of electronic correlations, which is reflected in quasi-particle bandwidth increasing with $x$. (Sr$_{1-x}$La$_x$)$_2$RhO$_4$ can be classified as weakly correlated metal, which becomes an itinerant in-plane ferromagnet (but possibly A-type antiferromagnet) due to Stoner instability around $x=0.2$.