The main problems with this idea is (1) state welfare institutions are not in a good position to judge an entrepreneur's likelihood of success or even gauge if they are an entrepreneur and (2) a welfare's system's priority is to avoid abuse.

Also, I think that the group of people who are willing to live on welfare incomes and the group of people who will start successful companies doesn't overlap very well.

Current welfare systems in Europe sometimes do a good job of promoting self employment by failing. A person on a welfare income is disincentivized from earning officially. They can lose benefits by earning and a lot of the time the fear of these is bigger than the reality. This means that to earn extra they need to work unofficially which is usually some form of self employment. The problem is in allowing the transition from this to larger scale official businesses.