Classes do fail a lot, too... they tend to be boring and stressful, among other things. As a practical matter, I often ended up learning everything in my room on my own anyway; the difference was that I actually did the work instead of slacking off because I feared the punishment that would come from not doing it. :(
My formal education left me with a ridiculously strong aversion to taking classes. :/
LW has a problem. Openly or covertly, many posts here promote the idea that a rational person ought to be able to self-improve on their own. Some of it comes from Eliezer's refusal to attend college (and Luke dropping out of his bachelors, etc). Some of it comes from our concept of rationality, that all agents can be approximated as perfect utility maximizers with a bunch of nonessential bugs. Some of it is due to our psychological makeup and introversion. Some of it comes from trying to tackle hard problems that aren't well understood anywhere else. And some of it is just the plain old meme of heroism and forging your own way.