Mario,
I just play exactly what I hear in my head and it always sounds great.
Am I missing something?
NO you are not missing anything. My point was learning theory is important to know WHAT you are playing. For instance you have a C Maj7 chord and you play a G, G#,A, B lead line. This sound great so you leave it. With theory you can analyze the lead line and know that the G# and A are passing tones. The G and B are in the C Maj7 chord.
One can play great music without knowing theory or reading music. But learning music can expand your horizons. Knowing how chords are constructed and what scales go with what chords will help when composing and/or improvising.
Actually David you made my point. Play from the heart, or head, and if it sounds good it is good.