Initial financial risk
Ability to be an administrator in addition to your "production" related role
Much harder to just leave work at work
Creating and leading a team to work with you and amplify what you're doing
It could jeopardize your business if you were hit with sudden injury or illness that kept you away
I'll bet though, that after something like 3-5 years of getting past the initial struggles, that the earnings thereafter are significantly higher than they would be if you were still plugged into someone else's machine.