Since the Confederate States themselves believed their secession was legal, did the new nation reserve the right of secession for its own states?
The word "secession" doesn't appear in the Confederate constitution, let alone any mechanism. But that's hardly surprising; after all, there was no mechanism for secession in the U.S. Constitution. If the Confederacy had set up a carefully correct way to secede, it would have implied their own secession was somehow imperfect.
The state governments of the Confederacy believed that since secession was not specifically banned by the U.S. Constitution it was allowed under the 10th Amendment which states "The powers not delegated to the United States by the Constitution, nor prohibited by it to the States, are reserved to the States respectively, or to the people."