That's pretty much exactly how I feel. I gave a talk a few years ago about doing advanced SQL things in ActiveRecord [0]. The talk suffered I think from lacking a unifying idea and because I tried to offer something to the whole spectrum of experience (from "this is a join" to "this is how you can express a CTE/lateral join/window function in AR"), but the real unifying motivation/message was that with AR you can have your cake and eat it too.
I've approached tons of problems by making it work in SQL first and then translating it into AR afterwards (to some degree or other). I would reject an ORM without an "escape hatch", but AR is wonderful for taking away the boilerplate while still letting you write SQL when you need it, and even letting you make SQL more composable by defining scopes.
I'm just wrapping up a couple C# projects where everything is direct SQL, and oh man is it verbose and painstaking! Every day I long for more Rails work. :-)