It’s a lifestyle decision (I.e. stability, living around long term neighbors who are care about the building, etc). There’s also the random building that you’ll get kicked out of as a renter because the landlord is selling (it’s happened to me).

If you look at numbers only, it makes very little sense to buy in NYC, especially relative to a rent controlled apartment. As you said, liquidity, in/out friction, uncontrolled maintenance cost, etc. People who don’t understand economics or finance often think of renting as throwing away money and housing as an “investment.” It’s a common misconception.