More importantly, distinguishing gains from risk is only meaningful if gains are entirely decoupled from risk. I claim that many entrepreneurs seek non-monetary gains like prestige or autonomy, and pursue strategies that maximize prestige or autonomy at the expense of their risk-adjusted financial gain.
A taste for risk and/or a taste for the pure satisfaction of managing risk is a non-monetary gain. If we accept my claim that some entrepreneurs seek some non-monetary gains, how can we be certain that no entrepreneur seeks risk as its own reward?
My unprofessional opinion is that some entrepreneurs seek risk and rationalize their risk-seeking behaviour as a quest for maximal financial gains. I'd extend that risk-seeking and rationalizing behavior to explain why many people join early-stage startups. When you look at the average risk-adjusted return of being a startup employee, a great deal of rationalization is necessary to claim that you're in it for the money.