I think I've felt under-employed at every job I've ever held in my life. Since I feel like I can build and run a company, any job less than CEO is under-employment to me. But since I'm too much of a maverick and iconoclast to play the political games and shit required to "advance up the ranks", I'll never become CEO of an existing company.
That is one big reason I founded Fogbeam Labs. I mean, here are other reasons; but one thing that appeals to me about starting a company is to have the opportunity to be The Person calling the shots. With this, I get to decide pretty much everything: tech decisions, marketing, pricing, sales, strategy, the whole kit and caboodle. If we fail, then I will bear the responsibility, but that's OK. At least, if that happens, I'll know there isn't anybody else to blame.