Working with many business owners, I am asked this question frequently and the answer seems to depend on the nature of the leader. Some leaders are effective at taking feedback, sorting, prioritizing, and executing it well—while still maintaining confidence in their abilities and status. Others become defensive and irritated at the idea that they’re under-performing, even if the criticism is valid and constructive. Their reactions and resistance is sometimes emotional.
If you are the first kind of leader, go get a board of advisors! If you are the second type, examine your resistance to advice. If you want others to follow your advice, shouldn’t you learn how to follow advice yourself?