Obviously different factors come into play, but in general I'd say for many people it would be ideal if they could be their own boss.
You need to be motivated enough to work hard but have enough discipline to not let it consume your life.
Most people either lack the self-motivation to work hard enough to make an income or have too much motivation and wind up working all day and all night at the expense of their families, etc.
And a vacation as your own boss isn't ever a vacation if you have a business that needs to keep running.
It's difficult to find the right balance.
Whereas a 9-5 job is just that, draw a paycheck, put in the work requested, and go to sleep easy. Though that means answering to a boss and not picking up on vacation when you please, though when you do take a vacation you're actually on vacation.
Like I said, not as rosy as people make it out to be.