If they understand the notion of changing keys, then they don't have no knowledge of music theory. Transposition is basic theory, but music theory nonetheless. What do you reckon theory is? It starts with understanding how scales and chords are built.
I mean sure you can handpick scenarios where some musicians on certain instruments may be able to transpose without knowing any theory. But knowing a bit of theory would unlock the requisite knowledge to do it reliably on any instrument. There is really no reason not to learn some music theory is what I am getting it - it will only make you a more versatile musician.
> Improvisation is about feeling the music and interacting with it, it is not about finding the best scale and writing the notes on paper.
Knowing music theory is not about finding the best scale. It is about being able to talk and write about the building blocks that give rise to musical expressivity in a common language that is communicable to others. In other words, it is descriptive, not prescriptive.
> in fact it may hinder you ability to discover by yourself
As someone who has taken 6 semesters of music theory, and still stumbles upon things that surprise me musically, I would disagree. The difference is when I stumble upon a new sound, I can remember it not only by feeling and how it sounds but also by it's harmonic, rhythmic, melodic, structural characteristics. Which would allow me to use it in greater contexts.