Possibly the primary reason that software engineers don't just go into business for themselves is that running a business is a very different problem domain with different challenges and rewards.

I have never envied any CEO, VP, or manager I've worked for their job. The hardest part of my day is crafting novel SQL queries or tricking C++ into compiling code that will work on all my target hardware in spite of an unknown number of undefined behaviors. I've never had to figure out how we're going to keep documentation in sync on our flagship project when the head documentation engineer is dying of cancer (and has chosen to finish out the week because he knows how screwed the project will be without him and he believes in it), or how to make payroll next quarter if the next investor says no, or how to keep the quarterly goals met when the President has just declared that all of our employees working in the country on a visa may suddenly not return to the country.