For many people who are well-enough off to consider having a good risk floor, the utility of a non-life-changing amount of extra money is nearly zero. It is only once you get into the high jackpots that it gets interesting.
Depending on your situation it can be completely rational to play the lottery or be a startup employee.
Especially if you're already making enough to get by, the value of the money you're already making is "priced in" to your subconscious analysis. Thus, the next order of magnitude of income really is qualitatively different.
Only if you don't rent a nicer/closer apartment. (OTOH, lower commute times are associated with happiness).
Someone with $100M has access to politics/investments/etc that most people earning $250k/yr don't. So while the average monetary payout is smaller (1% chance at $100M is equal to a 50% chance at 2M), average social currency is much higher. (1% chance at the social power that comes with $100M vs 0% chance in the BigCo job).
Until maybe ~$100M net worth, for me personally, I think an order of magnitude difference would indeed be qualitatively different / better.
There are plausible arguments that money can often have increasing marginal utility for poor people. Google "bee sting theory of poverty".
A 9-5 is unlikely to let you save $1M, much less $5M, unless you're high level in a big company. If you're very early in a big success, you can get there.
However, in many ways, employee 15 and up is the worst of both worlds. Small stock grant, sub market salary and benefits.
Big co: $50k extra from $100k -> $150k = $50k * 1 value / dollar * 100% = 50k value
Startup: $10M extra from $100k -> $10M = $10M * 0.25 value / dollar = 2.5M value * 5% chance of success = 125k value
There's also the intangible value of having hope for big success.
However, most startup employees I know make the choice for more than just the direct monetary rewards. There's the culture, the potential influence and impact, and several other potential reasons.
I take the opposite approach where a low stress 40 hour a week job can be pleasant. I have a minimal commute and spend less than 1/3 of my waking life at work or getting there. Further I mostly enjoy my time there. I did the high pay high stress job and it's just not worth it, but taking a year off showed that's not so interesting either.
Live to be 70 and a 40 hour week to a normal retirement is ~19% of your time. As long as it's not bad there are just other thing to focus on.
Let's not count the 8 hours you sleep. That gives us 8 hours out of 16 spent working. Also your employer isn't paying you for your commute let's count that at 1 hour per day this comes out to 9 hours /16 @ 5 days per week
45 hours out of 112 waking hours in a week spent working (and commuting). That's if you're lucky enough to work at a place that allows you to leave after "only" 8 hours worked without raising eyebrows.
That's 40% of your premium waking hours devoted to earning those precious clams.
Let's not kid ourselves. Your employer gets the best hours of the day and the best years of your life.
Work sucks.