Music theory isn't a set of "rules" - it's a set of patterns that are generally followed. And I improvise 100 times better since I learned theory - it's not a set of constricting rules, it actually gives you more freedom since you know what you're doing instead of trying something blindly or by trial and error. (See a chord written above a measure in Eb M? You know what key to improvise in, and you won't hit any sour notes.)
When you're self-taught, you might not realize the bad habits you have or the errors you're making, since you have no one to correct you on the nuances, and that's what makes music. Before I started taking voice lessons a few years ago, I had no idea how many weird, bad habits I had picked up. With the guidance of a teacher, I've become so much better, so much more artistic and expressive as a singer. Being taught how to do things gives me greater freedom of expressing music the way I want to emote it, because I know how those techniques are done.
And sometimes, those "rules" of being taught are set in place because that's the technique in which you get the best sound. They are not there to constrict - having a mentor and being taught guidelines and techniques is vital to improving as a musician, to be able to emote yourself through your instrument in many different ways. Critique from someone skilled is so essential to growth.