My conclusion is that starting a small indie business is less risky than aspiring to be the next Zuck.
First, it's harder to fail, because there are fewer forces pushing you to make risky decisions. For example, you can start doing contract work, take on clients, and use them to support you while you build your indie business. Hell, you can keep working at your full-time job if you want to and build your business on the side. Those are bedrocks of income that can last you more or less indefinitely. Often, your employer ends up being your business' first customer. Additionally, you don't have an investors telling you to quit your job and use their capital to scale up your business' costs beyond the level that your revenue can support, which is one of the primary reasons that funded businesses go under.
Second, the business opportunities are simply more plentiful. The bigger you get, the fiercer competition gets. The more money you aim to make, the fewer paths there are to get there. If you want to find your first 10 customers, you can go out and talk to 50 or 100 or 200 people yourself. Every marketing channel is your oyster. None of your competitors feel threatened. The niches you can fill are endless. If you want to go from 1M to 10M customers, however, you need an exceptionally clever strategy, brilliant insights, a lot more resources, and a much higher degree of luck.
It's difficult to actually measure success rates without agreeing on the answer to this question: What counts as someone trying to start a business?
With small indie projects/companies, I'd wager there are a lot more people starting who aren't really serious and never take more than a couple of sincere steps. They might lower your perception of the success rate, especially compared to VC-funded companies if your denominator there only includes those who've actually raised a round. More people fail tryouts for the high school basketball teams than tryouts for the NBA. People filter themselves.
But I assure you that, if you're committed to the task, your chances of succeeding with an indie business are much, much higher than 0.1%.