No, that scenario is perfectly possible as long as expenses for job and self-employment are kept separate.
For example, my day job is as an accountant. I could, and do, remain as an accountant whilst training for CPL. I am an employee as an accountant but can register as self-employed "future" heli instructor. All my heli instruction work would be liable to VAT to my customers whereas I could still continue to be a part-time employed accountant.
Cheers
Whirls