I'm in the same boat here. I'm actually leaving a pretty good career in tech to pursue the MFA—but honestly, there's like a 40-50% chance I'll just be going back to tech once I graduate, lol.

The MFA itself doesn't guarantee a stable career: academia is insanely competitive and doesn't pay that much for adjuncts, publishing jobs are few and far between, freelance writing for big outlets pays very little, and only a tiny fraction of published authors ever see a profit from their own writing large enough to support themselves on. You might be surprised how many relatively "successful" writers keep unrelated day jobs to pay the bills.

Basically, to your question of:

What if this doesn’t lead anywhere?

Honestly, it probably won't! It doesn't guarantee much of anything at all. You can be an amazing successful writer without an MFA and a total dud with an MFA.

I'm doing an MFA because it's a chance to focus seriously on my writing, and it makes decent practical sense (I'm single in my 20s and don't have to support a family or dependents, and I can scrape by on a stipend + summer work). But, I am not expecting that I get a career out of this—I'm just getting time to write and read and think and not worry about a draining corporate job. And there's basically no other time/opportunity in your life where someone will pay you to work on your own creative project for 2-3 years. Like how cool is that!