"The conservatory" is fine in English if the speaker has good reason to assume the listener would know which conservatory was being talked about, no different to any other educational institution. OTOH legal scholars only ever aspire to "the bar" (it's a metonym) and it's only ever "the school of hard knocks". Of course "school" on its own (or if only qualified by an adjective like "high" or "night" or "law") is unusual because it often sounds unnatural to use an article before it when describing your attendance there.