You’re conflating two things. Most people want security. The gung-ho excitement about self-employment is overblown; it’s not everyone’s cup of tea. However, continuous health insurance need not run through an employer. The IRS withholding system need not not run through an employer. A provision for a “safety net” when one is sick need not run through an employer.
For many of us sitting at the same desk with the same people doing the same boring tasks day after day, week after week, year after year was a (hefty) price paid for security.