If he came from country squires, educated at a certain sort of schools, surely there must have a point in his life when he was young and somewhat sheltered?

I actually really like the Coules Further Adventures story about that -- "The Saviour of Cripplegate Square," iirc -- the one in which Holmes is an ivory-tower, wet-behind-his-ears innocent, and needs strong and steady coaching in how things actually work to be of any practical use to people.