I'll tell you another reason why people underestimate difficulty of startups.

The probabilities are completely uncertain. You just never know how big it can get or how likely it is.

If you are optimistic like I was, you "hope for the best" since that one guy did it right? In essence, you don't know how hard the problem is.

In the corporate world you do know the probabilities, so you get scared by it.

TL;DR: Once you know the true probabilities you'll know which is a better option