If you fail at a moderate-upside, well-trodden path, it's embarrassing.

Because there's an established, effective playbook.

Lower returns, lower risk.

In the tech world today this might be something like a YC-funded vertical Saas business.

But if you take a swing at something massive that would be amazing if it worked but is unlike other things, then if it fails it's OK, because it was unlikely to work in the first place.