I'm a coach, and I have two coaches myself (one for strategically planning the next 10 years of my company and life - and the other for improving my copywriting and marketing skills), and one personal trainer.
The great thing about being your own boss is you have no boss. But the bad things about it is you have no boss. No one telling you what to do, when, and to get the MOST important stuff done.
Coaching creates accountability, and give guidance. Even the best in the business can use that. Look at star athletes or performers - they don't just suddenly "arrive" - they continually need to hone their skills and ramp up their game.
We are no different. So what type of coaching you get depends on how you learn, and how self-motivated you are.
If you are a go-getter, action-taker - your coach may need to simply by the right books, or video training, or group coaching calls, or maybe you want the interaction of in-person masterminds where you learn from equally motivated peers.
I've always had coaches in my routine - it's how I keep my game up. I pay $10K a year for Strategic Coach, flying to Chicago quarterly for one day. I pay $10K a year for my copywriting coaching program - we meet quarterly for a day. And I can track the results from having clearer thinking, the ability to bounce ideas/opportunities to others, and the training.
My personal trainer trained my muscles - the other coaches train my mind. That would be the reason to do it - because if you learn how to think and strategize better, that is like upgrading your operating systems - EVERYTHING else runs better.
For some it works - and others just aren't coachable. It's just not their thing.
Hope that helps,
Lisa