My parent's have run a small business for over 20 years. Between 10 and 20 employees depending on the season and the economic situation.
When everything goes great, they can sometimes clear a few hundred thousand in the year. They are doing well and appear wealth.
But then a bad job comes around, and they can lose their shirts. 3-4 times over the last 20 years, a big job has gone south and they have actually personally lost money for the year. One year in particular, they had to remortgage their house to meet payroll because conditions out of their control lost them a big contract. All the employees still get paid, but my parents have to go into debt and deal with the repercussions.
The stress they deal with is immense. I've worked some high-stress corporate jobs, and it still has no compare to what I watched my parents deal with.
I can't answer this myself, but I've gotten some hints at it over my lifetime of hearing my dad's stories (repeated over and over...)
One is that it's part of the American dream. As immigrants, being able to say that you made it and are self-made can mean a lot.
Second and probably more importantly, successfully running a business, along with all the financial risks included like loans, can give you a leg up in one crucial area that is very hard to acquire as a poor immigrant - high credit score. This let's you get far better loans, mortgages, etc. Having that history where you can prove that "yeah, I make good on my debts" goes a very long way. Especially if you're as savvy as my dad.
Because it's the most common and consistent gateway to actual wealth, which is also non-coincidentally the gateway to independence (at least from a singular boss, there's always some dependence on the system in some way).
This is slightly upended by startups and getting shares for signing on early, but that's really not all that different of a situation (partial ownership for partial risk), it just happens that at this particular point in history it's also applying towards people with a lot of prospects and/or resources so there's less on the line for them if it fails.
Literally drive down the street and look at those little no-name shops and stores: each of them have owners who employ other people.
The lady who owns the salon and has 10 other ladies + receptionist working there is not wealthy, and is probably taking on a lot of risk.
'Small business owner' is one of the most precarious positions to be in - it's like all the low pay and crap of 'working class' life - but with all the risk and stress of capital class.
I don't know why people do it.
I wonder maybe if this class just 'gave up on it' it'd be interesting to see how we would all cope.