Since anecdotal evidence can only go so far here's what a group of researchers says on the topic:

Some seek psychological explanations, suggesting that furries may be people with developmental problems or psychological conditions. Others assume situational explanations such as a broken childhood or a tumultuous, friendless, socially awkward childhood. After all, most furries have experienced significant bullying, and abundant psychological evidence shows that bullying, stigma, and concealed stigmatized identities can be particularly damaging to a person’s well-being. One would therefore expect furries to show evidence of significantly compromised well-being.

Data collected on the well-being of furries suggests otherwise, however. Across several samples, furries and non-furries did not significantly differ from one another on measures of life satisfaction and self-esteem.

Furries did not differ with regard to their physical health, psychological health, or the quality of their relationships, and were actually more likely to have a stable and coherent sense of identity than non-furries.

[Image]

The well-being of furries was also compared across fandoms (see figures above and below.)

Furries did not differ significantly from convention-going anime fans or fantasy sport fans, and were actually higher in life satisfaction and self-esteem than online anime fans, all groups which experience less stigma than furries do.

[Image]

Taken together, these data, in conjunction with the rest of the data in Section 117, demonstrate that furries, contrary to popular misconceptions, are surprisingly well-adjusted. It’s worth noting that this lack of difference in well-being occurs despite the fact that most furries have a history of significant bullying. One possible explanation for this is the ameliorating role of the fandom: given that belongingness and acceptance are both important values in the furry fandom, as is compassion, helping, and global citizenship, for many furries, the fandom is a source of social support. Social psychologists have long recognized the important role that social support plays in building resilience and fostering well-being, and future studies are planned to test whether this mechanism explains furries’ tendency to thrive despite often enduring significant hardship.

https://furscience.com/research-findings/wellness-dysfunction/11-1-wellness/

As someone with adjacent experience with the fandom also, I concur with your assertions here and can safely say that the only way to win is to not play.