Don't we already take a risk by trusting our income (for most of us, our financial security) to a single company?

If profits go down for your employer, your job may be at risk even in companies that operate in a rigid post-industrial revolution management style where you are forced to be at least 40h in the office.

As to why we don't have more business owners, I think that is caused by cultural and educational pressures to conform which then causes us to believe there will always be someone else who will take initiative for us, lead us, or give us a job. But, this is just my opinion of course.