Don't collect any more degrees. Instead, start something. In my book, a real entrepreneur will invest the MBA tuition into their own venture.
The corrolary is to only start something you are passionate about.
That leaves us with the question: Does the domain knowledge accumulated in a PhD program lead one to later find problems that they would have never otherwise been determined to solve?
My hunch says it depends. Some people will find a solution and then go looking for a problem. Others will find a problem, and then go looking for solution. For the former group, a PhD will be quite valuable, but not so much for the latter group – the chances of them even having studied the right domain in advance is slim.
Scott Adams attributes his success as a cartoonist to his rare combination of ability to both draw and write jokes well (http://dilbertblog.typepad.com/the_dilbert_blog/2007/07/care...). For a software entrepreneur, programming is analogous to drawing (as the base skill) and domain knowledge analogous to writing jokes (as the differentiator).
It’s also worth noting that technical PhD research is often based on a real problem; gives exposure to a broad range of hard problems and solutions; and teaches the process by which problems can be solved. Thus it can both help you find and solve problems (particularly those in the same field), whether those problems were the focus of your initial scholarly research or not.