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.