They surely know that they have a lot of talent, maybe less than other GMs. The chess players with no talent at all usually stop playing chess very early or are even unable to learn the rules properly (yes, that really occurs).
That isn't because of a lack of chess talent. That is because they're mentally retarded.
Well, some people lack talent because they are mentally retarded, other may lack talent for different reasons. But they all lack talent :)
"Outliers" by Malcolm Gladwell convincingly challenges the idea that "geniuses", in all walks of life, are somehow intrinsically special individuals. Hard work and practice, a supportive environment, education, birth date etc all have greater explanatory power than the vague concept of "natural talent"