Who has decided against academia for psychological reasons?

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I took a mix of hard math and CS classes and always found it easier than the majority of my classmates to understand abstract concepts. I did great when given problems like "find a proof of this theorem" or "make this algorithm faster". I've also developed a love for computability, logic, and probability. People suggested that I should become a researcher.
However, after my undergrad I got a rude awakening. When faced with very open-ended problems like "find practical applications for this new algorithm" or "find interesting research questions in this field of study", my mind goes blank and I feel anxious about not knowing what to do. I think I'll finish my education with a Masters, but this is such a problem that even getting my thesis done may prove difficult.
People who were in my situation: What are you doing now? Did you overcome these difficulties, or do you now have a job in the industry? Is your job very intellectually engaging, or are you a typical programmer and pursue your interests after hours?