Most classical musicians never did. The good ones at any rate. It seems that it generally those who understand the least about art that tend to take it much too seriously. There is a wonderful quote by Chesterton that deals with this very problem:
Any man with a vital knowledge of the human psychology ought to have the most profound suspicion of anybody who claims to be an artist, and talks a great deal
about art. Art is a right and human thing, like walking or saying one’s prayers; but the moment it begins to be talked about very solemnly, a man may be fairly certain that the thing has come into a congestion and a kind of difficulty.
The artistic temperament is a disease that afflicts amateurs. It is a disease which arises from men not having sufficient power of expression to utter and get rid of the element of art in their being. It is healthful to every sane man to utter the art within him; it is essential to every sane man to get rid of the art within him at all costs. Artists of a large and wholesome vitality get rid of their art easily, as they breathe easily, or perspire easily. But in artists of less force, the thing becomes a pressure, and produces a definite pain, which is called the artistic temperament. Thus, very great artists are able to be ordinary men — men like Shakespeare or Browning. There are many real tragedies of the artistic temperament, tragedies of vanity or violence or fear. But the great tragedy of the artistic temperament is that it cannot produce any art...
There can be no stronger manifestation of the man who is a really great artist than the fact that he can dismiss the subject of art; that he can, upon due occasion, wish art at the bottom of the sea. Similarly, we should always be much more inclined to trust a solicitor who did not talk about conveyancing over the nuts and wine. What we really desire of any man conducting any business is that the full force of an ordinary man should be put into that particular study. We do not desire that the full force of that study should be put into an ordinary man. We do not in the least wish that our particular law-suit should pour its energy into our barrister’s games with his children, or rides on his bicycle, or meditations on the morning star. But we do, as a matter of fact, desire that his games with his children, and his rides on his bicycle, and his
meditations on the morning star should pour something of their energy into our law-suit. We do desire that if he has gained any especial lung development from the bicycle, or any bright and pleasing metaphors from the morning star, that the should be placed at our disposal in that particular forensic controversy. In a word, we are very glad that he is an ordinary man, since that may help him to be an exceptional lawyer.
By the same token, Zappa was an ordinary man who succeeded in creating exceptional art, much like a Beethoven, or a Mozart. The thing called "classical music" was essentially invented by people who had an "artistic" or an "academic" temperament, as the case may be. The great geniuses of what we call classical music never had any such temperament. There is a difference between conforming yourself to an ideal which is ultimately relative and thus limited, as opposed to let the real thing, undefined and undefinable, breath out naturally out of your being. It is not the man who becomes an artist, but the art that becomes human.
The only tragedy is that many of those who approach classical music are put off by this "temperament". It would probably help to see a Bach or a Beethoven as the Zappa of their respective time, which might put their art in the proper context.