LyX's preview rendered simple math expressions alright, but it couldn't really render the custom math expressions (which required LaTeX math packages) that I needed for my dissertation. I eventually just settled on full LaTeX -- there's a slight learning curve, but ironically LaTeX felt easier to use and slightly more predictable than LyX because I didn't have to work around a bunch of limitations around displaying the final output (through ERTs).
Also, aesthetics mattered to me. The LyX rendering was an approximation of the final output (WYSIWYM), whereas the LaTeX generated PDF was actually the final output. The latter actually looked beautiful and I'd rather be able to see the actual final product than a WYSIWYM approximation of it (LyX does produce a PDF but it always felt like there was an additional abstraction layer separating the writing and the output, whereas LaTeX was more straightforward).
This mattered to me because I was writing long mathematical arguments with complicated expressions, which I had to inspect for correctness. I was also using TikZ a lot for diagrams and working with TikZ via ERTs wasn't ideal.
No knock on LyX -- it does serve a certain niche. But I also want to say to those who struggle with LyX, it may be worth the investment to write LaTeX directly.