It generally costs a lot of capital to get started. And that is just the start - there are employees to hire. Payrolls to meet. Plenty of paperwork and accounting. Than there are all the headaches of running a traditional business.
Employees claim sexual harassment, discrimination, etc.
Problems firing a poor employee because of possible lawsuits. A variety of additional taxes - Workers Comp, etc A variety of Government Paperwork. This third alternative is a lot more favorable because it doesn't have any of the headaches of a traditional business like payroll, employees, government regulations, insurance, etc. And yet you get all of the advantages of having your own business. Mainly in the form of tax advantages allowing you to a do a lot of the things you currently do with tax free money.