Another anecdata point... For me leaving academia was a big challenge - I'd have to find a job, pass interviews, move home, etc, etc. Scary stuff! But as soon as I had actually done this, my new career path in industry went smoothly, and my first year in industry massively improved my personal confidence. As an academic I was surrounded by other academics, but in industry I was forced to interact and communicate with a more diverse group of people, and I quickly found that it wasn't as scary as I had thought. E.g. doing product demos to senior people, supporting our marketing people by building prototypes, etc.
Amazingly, the company I moved to had much better tooling for the type of software research research I was recruited for than I had had access to at Uni. I built something (as part of a supportive team that understood software dev) in about six months, that I had struggled (and failed) to build in academia over a couple of years.
At some level in industry you have at least the potential to have the paradox of choice. Of course, some people are perfectly happy and successful with roles that are essentially the same in the fundamentals from one company to the next. But others largely reinvent themselves with each new role both between different companies and even within the same one. That really isn't an option in academia.
Amazingly, the company I moved to had much better tooling for the type of software research research I was recruited for than I had had access to at Uni. I built something (as part of a supportive team that understood software dev) in about six months, that I had struggled (and failed) to build in academia over a couple of years.