In music in particular, I often don't find this to be true, at least for my personal tastes. A good proportion of my favorite musicians are "outsiders" who went directly into doing unconventional things--- Roky Erikson, most punk bands, most grunge bands, etc. There are a handful of folks with formal music training (Bad Brains had jazz training, although it's only recently that's counted as "classical" training), but they're fairly uncommon.