Most people, when given the choice between "fun" and "fun and money", will take the fun and money. After all, I know very few people who will turn down a chance at free money.
Look at it like professional athletes. Many guys just like to play basketball. But, I'm going to bet guys who were close to playing in the NBA and just didn't make it, are probably at least kinda depressed about it, whether or not they still like playing pickup games.
I'm sure occasionally some of them wondered about what it would've been like to found Intel or AMD or Apple, but for the most part they seem to have been happy to have a job where the business side was someone else's job, and they got paid to just work on interesting technical problems all day. I don't get the feeling that someone like Ken Thompson ever was particularly regretful that he spent his career at Bell Labs rather than founding a startup, because he was doing exactly what he wanted to do.
Perhaps the technical freedom some of those research labs offered is part of it? I can imagine there being more regret if you missed money-making opportunities and didn't have a great deal of freedom to choose your own technical problems.