The real question is whether or not they'd have done BETTER if they were able to invest in private investments at the time. The on-topic question for this thread is whether or not investing in these private investments would have delivered better yields over a "long run" time frame.
I don't see that as being the real question at all. An underlying premise of this forum centers on individuals who want to be FI and/or RE for a very long time: 40+ years for most of us, assuming we live out our natural lifespans. So the question about whether the broader market (7% real-adjusted returns since 2008) did better or worse than private investments during the last decade is moot. For somebody seeking to retire and live off their investments for multiple decades, an 8 year time frame simply isn't long enough. A 40 year time frame is much more applicable. 50 years would be better, especially if we can compare 50 year periods that include various economic conditions (e.g. various combinations of high/low inflation, high/low growth, high/low interest rates, etc)
All of which gets us back to your original question that you posted at the start of this thread. You asked:
It seems to me that many folks on this forum would be better-served trying to figure out ways to increase their yields passively than slicing cents out of their budgets.
To paraphrase and simplify, this can be subdivided into two parts
1) why do we spend so much time reducing our expenses?
2) could we achieve a better return (and have a subsequent WR) than we can investing in an index fund?
Let's start with the first part. As many of us have learned, we exist in an 'exploding volcano of waste' and we find that we can optimize our expenses and actually be happier for it, and that it increases our quality of life. Less time spent watching 400 channels of reality television, more time exploring nature. Less unhealthy commuting, more time spent exercising. Etc Etc.
Now, this budget optimization has a huge effect on our financial situation that I think you simply are overlooking. If I went from spending $100k/year to $50k/year, that means I need only 1/2 the portfolio I would living off $100k. In essence, it's the same as increasing my returns by 4% per year, nad using an 8% WR. It's powerful stuff, it's easy to do, and it provides vast benefits in our quality of life.
To get at your second question (could we achieve a better return) - I'm certain that it is possible, but I've seen many who try fail. I am quite comfortable with index funds for two reasons: i) there is over 120 years of 'good data' out there. You can compare returns over all decades in a wide variety of economic conditions. FireCalc and FireSim are just two examples of models which utilize this data.
Frankly, I'm not comfortable planning ~40+ years of FI living based on data that goes back just a decade or two. The kinds of investments you are talking about have a much less available data-set, and as many, many people have pointed out already in this thread, different areas seen their values collapse.
Your response seems to be "i would never invest in such areas," and perhaps you have superior skills to identify exactly which areas you should avoid. I'm not confident in my ability to do the same, and given boom-bust cycles it seems that others aren't very good either. Which leads mes to ii) this takes far more work than simply buying an index fund (total annual time, maybe 5 minutes). You keep saying that it takes "skill" and that the risks are easy to mitigate "if you know what you are doing". Well all of this takes a level of experience that I frankly don't have and don't want to spend my time learning. If it's your passion and you enjoy it, great! But skill takes work - otherwise it's just dumb luck.