There's unique challenges for sure, and making sure that sponsor obligations and the like don't take over your life can be a real concern. But the idea behind it comes down to living a lifestyle that works for you.
I want to do it because I want to spend the next few years of my life chasing dreams of being a professional skier, I'll probably not get there but I'd like to try it for a while. I'll sacrifice money, security, and a lot of normal comforts, but there's reasons certain lifestyles exist.
Granted, I don't know how the transition after this period of my life will go, I think it's important to chase dreams for a while and not have regrets.
I guess my whole thing is money doesn't buy happiness, but even then money is needed to support yourself and if it takes selling yourself out a little bit for sponsors and the like, so be it.