I have to agree - going into a small company and getting yourself stuck into a lot of different projects is great, at the moment Im covering a lot of the following:
Encryption (desktops and laptops with diff configs)
Remote Acess Servers (SSL VPN)
Telephony (Voicemail, New PBX and Fax via email)
VMWare (server and desktop)
Online backups as well as constant live server replication
Not to mention all the day to day stuff with Bloomberg, Reuters, Office, Blackberrys and in house trade-accounting software
I cant see many large companies giving you the opportunity to get all that under your belt after 2-3 years with them.
Some prefer larger companies and good luck to them, but Im really glad I moved into the city to get a decent job its worked out pretty well.
A degree gives you more options/flexibility for the future and also gets you onto the grad schemes. If you can't get experience (which the grad schemes are aimed at providing) the MSCE or any other qualification isn't worth squat.
I found the opposite - My degree is worth squat it seems (Electrical and Electronic Engineering) - didnt really get me anywhere, it was my self taught and other IT skills that have got me where I am , dont get me wrong if it works for you then good on ya but it certainly didnt for me
At the end of the day I guess its more about getting interviewed by the right person for you, getting along with them and try not to look or sound a plonker