Don't quote me directly on this, but I read an article in Rolling Stone commemorating the ten year anniversary of Jerry's death, and it quoted him from a previous article where he answered a similar questions. He said something along the lines of "I may play half of an ascending minor pentatonic and then descend along a Locrian but I'm not thinking about it while I'm doing it. What is important is the note itself." Like I said, that's not direct, but those were the points he was stressing during the interview.
I think that, from this style's perspective, the advantage of learning all of the various scales and modes by rote is that when you are "freaking out" or just in a groove, you will know exactly what note to play next. The different modes and scales translate into specific moods that, when memorized, are at your every disposal. I know at first memorizing all of that seems daunting, but if you think about it, you'll be playing (hopefully) your whole life, so you have plenty of time to learn and expand.
That story about Jerry seeing the scales on the frets is awesome. When I picture that, it's like each scale is laid out on the board in a different glowing color, twisted and braided. Granted, knowing Jerry, that could have very well been what he saw