There's nothing stopping you from still building random stuff from Legos. In fact there are Lego Classic boxes that are intended just for that.

I think it comes down to personality and interest. One of my kids just buys the occasional Lego and builds it exactly per spec. The other will do that too, but also will dig into our buckets of extra legos from abandonded sets of the past to build cool stuff (a mech, a Magic card stand, a Minecraft sign for his room) or mod his sets by incorporating other Legos to add weapons or decorations, make the limbs longer, etc.

I think the analogy holds quite well for D&D: there are people who just want to run a pre-written adventure, and other people who are crafting their own worlds and scenarios, but will happily mine published materials for ideas.