Hi Kevin welcome aboard.
As a former truck driver, I read your post with interest 
Been a long time since I was in that game, but the reason most newly qualified drivers did agency work was to build up a track record of proven experience, as insurance was horrendous for newly qualified HGV drivers. Plus the wide ranging work of agency work could see you driving for Sainsburys one week, trunking the next and multidrop round London the next. This gave rookie drivers a wide breadth of experience.
Personally I would do the same, build up a bank of experience you can full back on, but ignore the crew room warriors and examine how the bigger firms work, what tips and tricks you can use. Look through the eyes of a business owner not a driver. They have streamlined their businesses over years of trial and error, so hoover up any nuggets or useful information you can. Get a really good idea how the industry really works and stresses and pressures on drivers and transport managers alike.
Large firms (used to, assume the same is true) like to outsource to owner drivers as it cuts down their overheads. You are responsible for running costs, insurance, breakdowns. You are a subbie rather than an employee, so have less rights and they can dump you easier when there is a downturn. Larger firms may require you to lease you the wagon in company colours, but locked under their terms.
If you are going down the road of self-employment, then you have different options which have their own pros and cons. You are right, as a Limited Company you have Limited Liability, ie you are not personally liable (unless criminally). But you then have to conform to Company House reporting rules and have responsibilities. So factor in these costs such as end of year accounts, getting an accountant to do it etc.
Sole Trader is more simple, but as you say you will be liable for any debts.
Gov.uk has a good page explaining the differences and your responsibilities: Set up a business
My fivepence worth, don't rush into a self-employment. The reality can be different form the vision. Learn your craft, do your homework. Talk to successful owner drivers and find out why they are successful. Is it the type of work, employer, vehicle, location? Weigh up all the factors then make an informed decision based on facts and not the heart.
Wish you all the best and let us know how you get on.