To me, this should almost always be the most interesting possibility. You could do this on the side and use it to get some enthusiasm back into your coding. This option also has the most financial upside if you can do something which takes off.

This option also gives you the best job security. There is no job security in a job, only building your own business will put you in total control over your destiny.

Also consider that the same sorts of issues could pop up wherever you land, along with additional issues that you won't know about until you actually get to that different job.

Otherwise, it seems like a bit of a coin toss. Maybe browse through LinkedIn to see if you can get in touch with people working in your target industries. See if they can further expand on your list of pros and cons.