"I can't help but wonder what this world would be like if people had more faith in themselves and their own abilities than they do in" - the GOVERNMENT! But to your question - yes, I do think people are more comfortable to be led. It excuses having to think, and any responsibility for the outcome of a decision.

Well, the thinking that you have your life in your own hands gets driven out of you pretty fast in the school system and the labor market, which are both hierarchical, non-democratic systems where you have no choice but to comply. In the former case it is justified of course because children don't know shit and need to get taught, the latter case is a different matter. If in the place where you spend most of your life it is normal and unquestioned that you have to take orders it is no wonder that people think democracy means putting an X on a piece of paper once every few years. So, yeah, people just get used to following orders. Not so long ago religions were more prevalent in supporting that structure even in your "free" time, but thank god (pun intended) it gets less and less influential.

Well I know which one I prefer, but on the same time it is not easy for people to lead because often they has such crappy upbringing where they were abused and not necesarry physically but emotionally so now they have no self confidence.

Just lazy -- thinking requires effort.

As long as you accept being led, you have no need to do anything and requires no effort or action on one's part but to follow. What could be easier or more simple a way of life?