Is there any reason to invest in stocks, ETFs, etc. outside of a tax-advantaged account?

Some thoughts:

• There's a limit to how much you can put in a tax-advantaged account. Even with mega back-door and other ways to move money around, there's still limits into how much you can contribute
• There are income limits that reduce or even prevent your ability to use some tax-advantaged accounts
• Retirement accounts are designed for retirement. If you want income off of your investments now, it's better to do it outside of retirement accounts that will charge you a penalty for early withdrawal
• Many 401(k) plans (which are the best retirement plan option for many people) have a very limited selection of investments.
• Loss/Gain harvesting - you can use opportunistic capital loss/gain harvesting in high/low tax periods. With a retirement account you only pay tax when you withdraw funds.
• Minimum distributions - when you hit a certain age, you are required to withdraw funds from traditional retirement accounts - this money must go somewhere, so a non-tax-advantaged account may be a good option that still has discretionary funds to invest.

• You have certain limit in Roth IRA contribution and it will not be sufficient to manage your retirement, with the Roth IRA growth alone. You have to save and invest as much as possible. There are people who save 70% of their income and invest.

• For every investment liquidity is a major factor. The invested money should be available to you in case you need it. Roth IRA locks the money.

To answer your second question, tax advantaged vs tax non-advantaged: If they both offer same returns, then definitely tax-advantaged is better than non-tax advantaged. So, you need to see, if you have got limited money to invest, tax-advantaged by default offers more benefits compared to tax non-advantaged.

It mostly comes down to when you want to be able to use the invested money and whether you're hitting the (relatively low) contribution limits.

The tax-advantaged accounts can only be used for retirement unless you want to pay a fortune to the IRS in penalties (which would, of course, defeat the purpose of using a tax-advantaged account, since you'd end up paying more tax rather than less.) Thus, if you want to have funds available before you retire, then you'd want to put them in a normal investment account rather than a tax advantaged retirement account.

For most people, it's really best to have both. The retirement accounts are clearly better for money you want to save until retirement, but it's best to also have separate investment accounts to use for funds you might want to access before retirement. Whether it's saving up for some particular purchase (such as a vehicle, major home renovation project, etc.) or just having an emergency fund around in case something comes up where you need the funds, there are lots of reasons that people want to invest money in such a manner that it's accessible prior to retirement. Non-tax-advantaged investment accounts are one of the best ways to do that, as they will typically generate much higher returns over time than things like bonds or money market accounts (or, especially, bank savings or checking accounts.)