It all has to do with simply not feeling secure (enough) in the conditions where reefing should be practical.

Certainly. And having the boat fitted with "options" (reefing, storm sail, etc) is part of that security.

Still not sure on the "fun" part... Maybe telling the story of how you got through the nuclear conditions is "fun".

It also could be that "heavy air" (over 30 kts) in this area is accompanied by things I don't consider particularly "fun":
- hail
- cold temperatures
- mega-lightning. I think Florida kills more people with lightning than anywhere else?

That last one is key for me personally. When it starts to feel like you're at a Rave party because of all the flashing, and you're sitting next to a 10 meter aluminum stick in the middle of a large body of water, it's hard to feel the "fun".