Were there any well documented self taught major musicians who struggled to adjust to conventional written music methods? By self taught I mean learning, for example, by ear and making up songs but not knowing what conventional musical notes or scales were being used; they would learn and decipher notes, scales, chords, etc. by ear first.
I wouldn't say that he struggled, but it is well-known that Jimi Hendrix couldn't read music and that he didn't know music theory in any formal sense. The following is an interesting quote from the autobiography of Miles Davis (p. 292):
When I called back home from the studio to speak to Jimi about the music I had left him, I found out he didn't read music. There are a lot of great musicians who don't read music - black and white - that I have known and respected and played with. So I didn't think less of Jimi because of that. Jimi was just a great, natural musician - self-taught. He would pick up things from whoever he was around, and he picked up things quick. Once he heard it he really had it down. We would be talking, and I would be telling him technical shit like, "Jimi, you know, when you play the diminished chord ..." I would see this lost look come into his face and I would say, "Okay, okay, I forgot." I would just play it for him on the piano or on the horn, and he would get it faster than a mother******. He had a natural ear for hearing music. So I'd play different shit for him, show him that way. Or I'd play him a record of mine or Trane's and explain to him what we were doing. Then he started incorporating things I told him into his albums. [...]
Perhaps Elvis Presley? "I don't know anything about music. In my line you don't have to."
Vangelis could not read music (at least during his formative years).
He composes entirely by ear, and he refused formal piano lessons as a child, instead teaching himself how to play keyboards.
Frank Zappa was completely self taugth (he completely distrusted the education system to the point where he didn't even send his children to school, teaching them at home).
Already an acomplished musician, he learned music notation by himself when wanting to develop more complexly orchestrated (e.g. metal section) pieces. Eventually he could (and did) wrote complete orchestral scores, some of which were recorded with the LSO (under his own direction) and others by Pierre Boulez and his Ensemble InterContemporain.
I'm not sure though about how much "theory" (e.g. tonal or atonal harmony, etc.) he was familiar with. My impression is that he did not follow that route and he composed all his music by "feeling", the notation being a mere vehicle to convey the music to performers. But I don't have any definitive sources one way or the other.
As has been said, there have been many great musicians who couldn't read music. Being able to read music, knowing harmonic theory, and knowing the numbers behind musical frequencies, are all useful tools for learning and looking at music, but they are not music itself.