the problem is scale. there's a tension between an individual developing technical skills (transfer cost is high, slow, expensive) and developing agent skills (transfer cost is low, instant, free).

so, just like a manager manages employees, or you consult a contractor, agents are a way of getting leverage over a system.

that said, if you want to learn to play saxophone, you're free to do so. just note your personal endeavors may begin to look more like hobbies than marketable skills.