A spaniard, son of a railroad worker. Started working as a shop hand at age 14 and it's now, at least according to Forbes[1], the richest man in Europe and the wealthiest retailer in the world. You can't be more self-made than that.
On the other hand, some of the people you mention were already well-off to begin with, even if not really rich.
Once said that, I agree with you at some level: The mindset in Europe is (or was, maybe it's changing?) different from the US and, generally speaking, more risk-averse. Also, the feeling among most of the european entrepreneurs I've met is that the US is the place to go if you really want to succeed: Funding, market fit, know-how... all that is perceived to be better/easier to get in the US.
Anyway, just my 2 cents and my very personal, very subjective, anecdote-based perception of it.
[0] https://en.wikipedia.org/wiki/Amancio_Ortega [1] http://www.forbes.com/profile/amancio-ortega