> without risking/gambling your own capital by exercising them.

Many companies offer early exercise, so you can reduce the amount you gamble by a lot.

Also, you already "pay" in terms of opportunity costs by being at that startup vs something more established where you get RSUs of a public company. So using some of the money from the startup in order to exercise the shares is really useful. If the startup's cash compensation is just enough to pay your bills, then of course it's different.