> I'm just not that bright and that a PhD would be a huge intellectual challenge for me
Don't think you need to be bright to complete a PhD. If you're able to get accepted in a program with a decent advisor, you should have what it takes to complete your PhD. It's also a matter of personality, perseverance.
I'm pretty happy that I completed a PhD. For one thing, it's great to have more than one professional life. I did a variety of things. Worked in academia, in several labs, several countries, and now in company. I had friends who went straight working for a company after their Msc. They earned more money, but I have the feeling I had a more diverse career, and that I learned more things (even though some of them are pretty useless). On the other hand, even in the industry, there are many opportunities to do interesting things. It's up to you not to get stuck in a boring job.
There's no definite answer.