An industry job is fine if you're protected from the politics and valued for your knowledge and intelligence, but that's rare, and it usually doesn't last. The people making major decisions don't value intelligence or curiosity and, worse yet, they often have malevolent intentions. Getting "screwed" in academia means getting a B because of a tricky question on a final, or having to publish in a less prestigious journal than you think you deserve. Getting screwed in industry means you lose your right to an income and might never get it back.
The thing is, people in industry (meaning for-profit businesses that expect every member to work on some line-of-business concern... I'm not talking about research labs) have better social skills than academics are used to, so a lot of ex-academics jump into it thinking they're getting into a non-toxic environment, because the corrosive behaviors are not immediately visible. It takes a few years before people realize they haven't just entered "industry"--they've gone into literal corporate America.