Why not just study a bunch of different things to Master's level then? Learning something genuinely new seems like it has a much lower return to effort.

Good question. IMO

1) There's a kind of "hard" learning you're learning a fixed, structured way from a textbook.

2) There's a kind of "soft" learning which is transmission of knowledge, which happens a lot more face to face when you're working together.

3) Then there's a kind of research learning, where you're doing something new, usually with collaborators.

The second and third are really best done in certain environments like research or good companies

You'll do great. This will eventually turn into new discoveries if you keep at it.

That is the hope!

I meant that you tend to spend free time on that as opposed to treating it like 9 to 5 job. and again it is important that if you do that, it is because you just want to see what comes out of your experiment/learn a new thing etc rather than because you have to publish or is forced by your advisor.

I see. I think I definitely lean towards that.