[Spellchamp]

My experience with this is related to music, but since software engineering is similarly flexible with regards to qualifications, I'm sure it could apply.

I'm totally self-taught in music, using mostly books and the internet to begin, then just real world experience playing in jams and gigging for free with strangers. Eventually, I was able to fund myself in university through my post grad just by playing bass in a band. Auditions where you can show what you can do(by literally playing for others) isn't too dissimilar to coding exams in interviews, as well as having a "portfolio" of sorts.

So I would say that self-education is definitely useful. Although I've not experienced it in the world of software, I have first hand experience in it's usefulness elsewhere.