Lots of good info here. You would expect jazz musicians to be more inclined to formal training, as you would expect horn players to have started in high school bands.
Biffy named the first one that came to my mind (Rick Wakeman). Another good example is Keith Emerson (Emerson, Lake, and Palmer; Keith Emerson and the Nice; Asia), who is a classically-trained pianist.
Page Hamilton of Helmet has a master’s degree in jazz performance from the Manhattan School of Music.
Joe Jackson was classically trained before moving over to pop.
It may well be so commonplace that it’s not worth mentioning.