The best/worst advice I ever received was "you're doing a great job of what I ask you to, now I need you to do what I don't ask you to" -- at the time, it made no sense. Now, it's a core part of my work style. Developing autonomy is a very valuable skill, and I think that's what OP is driving at. It's also not something that'd been developed during my education.
I agree that performance reviews aren't particularly helpful because feedback should be delivered as you go, in the moment, with actionable and relevant examples.