A great many musicians and bands among all the various subgenres of prog (avant-prog, Zeuhl, prog-metal, etc) have conservatory musical training.
Rick Wakeman of YES was a student at the Royal Academy of Music, but left to go into rock.
Christian Vander, leader and drummer extraordinaire of French band, Magma, was a classically trained percussionist.
Jazz-fusion violinist, Jean Luc Ponty was classically trained. As is Herbie Hancock.
The original members of Dream Theater all met while students at Berklee School of Music.
Many Italian prog bands are loaded with classically trained musicians. The Nocenzi brothers on keys, from the band Banco del Mutuo Soccorso, violinist from band PFM, violinist with band Deus Machina, leader and keyboardist from Il Balletto di Bronzo, Giani Leoni, just to name a very few.
I could go on. But out of all genres that loosely fall within rock, the avant-prog subgenre easily has the most classically trained musicians. The music in this subgenre tends to be so complex, that it really needs some extremely high level of musicianship in order to play.
The Belgian avant-prog band, Aranis, has 7 members, at least 5 of which are grads from top classical conservatories.
Same with the US band, Thinking Plague, Belgian band, Univers Zero, French band, Art Zoyd, Italian band, Yugen. All have several members with music training and degrees.
