As far as I can tell, the biggest issue with most early employees is not being able to exercise your stock options— the ones that vest first you can't afford, and by the time the later ones vest, the tax bill would be too great. So if you want to leave before an exit, you're either walking from your options, bank-financing it, cutting some kind of side deal with a VC to finance it, or working out a deal with the board to buy you out over time.
I should of hopped to big co sooner instead, I would of been significantly ahead of my life's savings goals if I did, and possibly would of bought my house at a far cheaper price because I had the money to pay for the down payment.
I can definitely picture that there'd be a high vulnerability to sunk-cost thinking.
The employees that can jump ship quickly are the good performers that also live somewhere with ample opportunity. Those also are rarer than the average Joe Dev.
I'm not saying it's always a really bad dicision to join a VC funded startup. But in the majority of cases, people would probably be better off not to - at least financially. Of course (and luckily) there are more factors than that.
Usually they are able to jump ship sooner than the founder and don't loose any personal investment in the process they get more responsibilities and more independence which in turn can get them to higher salaries faster.
Employees at startup usually get paid a bit less than "market rate" but enjoy a work environment they consider to be more exciting / enriching / challenging. There are people that dislike the startup environment, or that don't think it's worth the pay cut compared to GAFAN or other BigCo - and that's OK - but for many it's not as bad as you frame it.