Yes and no. As is often bandied about, the expected value of a career in startups is lower than in many other fields, and yet people do stay after seeing through the myth.

A large part of it, at least that I've observed, is the energy, speed of execution, rapid change, the excitement and adventure of the startup world. You willingly give up expected value in exchange for a more interesting life. The stress is part of the fun, the person it moulds you into is something that becomes part of your identity. If the personal risk wasn't real, it wouldn't be fun. The man in the arena etc.