Being self-taught is useful when one wants to go into business for ones' self, as a consultant or something else like that. Plenty of people who are self-taught in cooking end up forming a catering business. There are all kinds of options when you freelance.
In these situations, your work speaks of your credentials. You create a portfolio of sorts (the kind depends on the work you are trying to get.) If you are GOOD, it will show.
It seems that institutions, whether it be when one is applying to graduate school or a large corporation, want to see that degree. Perhaps it is because they have too many applicants to sort through, and that is an easy way to do it? The way I see it, small businesses and individuals care more about the quality of work than how you came about learning what you know.
School is good for a few things, however. First, it is easier to make sure you've covered all the information you need to know (assuming the school is good.) Second, it is the quickest way to learn the information. Teaching one's self is a great thing, but it is very time consuming and it is hard to stay motivated. Usually, you are doing the learning on the side, in addition to all the other responsibilities you have in life. Third, school provides accountability and motivation to actually do the work and do it well.
BUT, school is also expensive and time consuming. It is extremely difficult to fit school into life if one is already working.
I lean towards being self-taught, but I also have a bend towards being entrepreneurial and I do work for myself. I do a lot of things that I don't have the right qualifications on paper to do. Very few people care, or even know.