To be a classic Victorian Bohemian is to place oneself outside of conventions that are supposed to control your life from the moment of waking to what you wear to sleep. For him to self-identify as one is a big thing, at least from my understanding of the movement, which stresses independent thought, rejection of social mores and stress on intellectual arts over appearances (which were *everything* to a Victorian).

Holmes is described as a perfect Bohemian because his use of his vast intellect is his art. (Being a big old drug addict, social disaster and slob probably added to the effect. ;) Watson may be more concerned than Holmes about his standing in society, but like wrabbit said above, there is a little something about him that simply doesn't fit into the Victorian puzzle.