You have an interesting argument, that a high-yield bond fund offers a better overall return, lower fees, higher liquidity, and lower risk than Lending Club.
Some points:
1. High-yield bond funds themselves offer a highly variable returns. Lending Club returns are less variable, year over year within the same grade. Granted, this may change, we don't have that many years' data with lending club.
2. Lending club returns capital back to you each month. Depending on one's objectives, this may be an advantage, or not.
3. High-yield bond funds invest in corporate junk bonds. Lending club invests in consumer debt. Different birds.
4. Lending club offers a lot of options to invest in exactly the type of loan you want and to review historical data. If one is so inclined, a bit of researh can boost returns.
Now the disadvantages of lending club:
1. It is slow. You can just dump $10,000 into a bond fund and be done with it. You can send $10,000 to lending club, but it's going to be a couple of weeks or more before it gets all invested and the loans are funded. There's a bit more work involved, even with "automated" investments.
2) To a certain extent, waiting for loans to fund decreases annual returns.
3. There is a secondary market for loans, however, it charges another 1% fee to sell a loan.