[fnordfnordfnord]

>How well would it scale for a musician to personally handle depositing checks from millions of fans?

Many of them do a good job handling fan mail. It sounds like a nice problem to have.

>There is a very good reason that many musicians become involved with labels, promoters, distributors, etc.

There are some good reasons for artists to outsource administrative errands, management. There's also the crappy reason that is the monopolization of the major distribution channels.