I dap OP for this post but there are a few things you need to remember....
1) Blacks in the 1920s were still largely rural. Blacks did not become a majority urban population until the 1950s. The big city crime was all done by White folks at this time, particularly immigrant groups. Rural communities (at least back then) were much more cohesive and socially conservative and thus the strong family, community, and economic networks. Also Black people had a higher marriage and wedlock birth than even White people back then. One of the huge hotbeds of Black entrepreneurship wasn't Harlem or Chicago's South Side (where Blacks often rented) but in Durham, NC.
2) The 1920s were when lynchings and the KKK were worse than at any time since post-Reconstruction and we still were able to build.
But there were still good reasons for CRM
3) The tide that led to CRM wasn't necessarily c00nery. The economically empowered Blacks in the 1920s had a bunch of roadblocks. The farmers (like many White farmers) were devastated by the Dust Bowl and farm recession in the 1920s. Since Blacks were mostly rural, they were hit harder overall. Some looked for industrial employment.
There were many legal, Union led, and other obstacles to many Blacks getting employment in industry. Those like Ford were a minority in giving Black people factory jobs. Industrial employment is necessary for a large sustainable middle class that rural agricultural productivity just can't match. The prelude to the CRM were the strikes led by Randolph to get Blacks employment in the war industries during WWII. Trying to get these opportunities helped lead to CRM
3) Lynchings spiked in the 1920s, and successful Black entrepreneurs (and towns like in Tulsa) were the targets of open violence with no protection from local or federal authorities. Ida B. Wells wrote about this at length. Black people could not always get guns (the first gun control was against us) and even if they did, the blowback would be worse. The anti-lynching law FDR wouldn't/couldn't support was a prelude to CRM as well. Black people wanted at least protection of lives and property they didn't have.
4) Booker T and Garvey (who I do greatly admire) preached only economics matters, not politics. This is true to a point but it is not a hard and fast rule. In 1928, Herbert Hoover pulled the first "Southern Strategy" before Nixon and pretty much purged the Republican Party of Blacks. This destroyed what little political representation we had and the consequences of that both eventually drove Blacks to FDR in the 30s (with Eleanor's help) and, along with the spike of lynchings and KKK membership, disillusioned people of the future Booker T. promised when our educational and economic achievements would make us more equal and respected in the US. Back to Africa by Garvey was the alternative but had no traction so we had to stay and fight.