you mean that soloists make their own cadenzas, or even improvise them? It's probably very unusual, but I heard about a classical pianist who played Mozart concertos here in Gothenburg, and apparently played one cadenza on repetitions and a completely different in concerts, said one of the violinists in the orchestra. Probably improvised cadenzas, then.
But he's probably one of few...
A funny thing when speaking of cadenzas... I recently saw Kavakos playing Tschaikovskys violin concerto, has anyone here seen him play it? Great performance. Anyway, in the violin chords just before the cadenza he did a quite funny thing with his bow. It's hard to explain it, but he held the bow far from himself while the orchestra every time before the chords, and then he would start doing a slow cirkular motion up in the air. All of the time, he was looking obsessively on the bow, as if he was frightened for it. With the circular motion, the bow was all of the time coming closer to the violin, and when it was there he played the chords. It's hard to explain, but it gave me a very different feeling of the music. It was like he was telling the audience: "Look here! Here's my big and dangerous bow... watch out, watch out! Here it comes!"