@Setanta,
Actually, that's not true as Patrick Moraz, the keyboardist, was classically trained. Originally, the keyboard player of Yes (replacing Rick Wakeman), he joined Moody Blues around 1978, replacing Mike Pinder.
As they were one of (if not the first) the first popular rock groups to record with a classical orchestra, it's an easy stretch to think there was more members of the group who were classically trained.