I remember reading a case study about two different brands of water filters. One was, on paper, clearly superior (removed things that demonstrably cause illness) but removed a mineral that made water "taste good". The other, inferior filter brand, left that mineral in the water and thus beat taste-tests hands-down.
The study was about the immense marketing challenges that the superior brand had in turning around the perception (as I recall, they had to tweak the filter to enable pass-thru of that mineral, then run taste-test switch ads).
Anyway, the point is the same - yes, it's really really hard to actually get a company off of the ground. But none of that matters if your candidate hasn't tried it once or twice: you've gotta find ways to neutralize that argument.
I like the one where "If you want to leave here after a few years we'll give you xx-thousands of dollars" - because the great work environment, combined with now an inside view of just how hard a startup is - they probably don't get very many folks taking them up on that offer.