It depends on the subject. You can get feedback from tutors/professors, and evaluation of your work. If you study proofs, you can't verify by yourself if they are good/correct.

Apart from that, if you go in a traditional uni (which is not my case, I do online degree at Open University of UK), you also have great networking opportunities.

Not saying about other subjects, like medicine, physics, biology where you need access to a lab to learn something.