Sorry "Charlie" but I strongly disagree with you there. There would be very very few people who could pass ALL the exams FIRST TIME simply by self-studying.
I'd be very interested to know what marks they are getting for their exams - most likely they would be scraping in just over the 70% pass mark. Doing theory in the classroom certainly increases your depth of knowledge about each of the subjects and shows that your are serious about aviation, rather learning just enough to get you by.