It's a very good question.
I think that the biggest reason that students leave econ programs without their PhDs is that they have trouble moving from coursework to research. They pass their first year classes, they pass the prelims -- but then they get stuck. They have trouble coming up with an idea, aren't sure how to proceed without direction or manage their time, or don't know how to write up their work. If I had to guess, I would say that on average, more people leave econ PhD programs after passing their prelims than because they fail the prelims. Sure, there are some schools where failing prelims eliminates a substantial fraction of the class, but I suspect that a lot of the attrition comes in the transition to research.
Other reasons that people leave programs include a bunch of things you've mentioned, including discovering that they just don't like the material, or that graduate economics is not what they expected. Because -- be forewarned -- it is nothing at all like undergrad economics, at least in the first year. People come in thinking that because they liked their undergrad econ classes and were good at the material, grad school is going to be more of the same. And it's not. It is more work, less concrete, and utilizes very different skills. The very best thing you can do to keep yourself from falling into this group is to start reading some journal articles now, to see if you like economic research. Sit in on a couple of graduate classes, or at least flip through the text books to have a sense of what the material is like. Talk to your econ TAs -- they will be more than happy to ***** about life as a grad student. And when you start the program, go to seminars, read interesting papers, do the things that remind you of what you like about economics and why you decided to do this in the first place. Graduate school can be rough, and if you aren't sure what you want out of it, it's hard to find the motivation you need to push through. I think that the sort of feeling lost reasons for leaving PhD programs are more common for those who came straight from undergrad and haven't had a chance to experience non-student life.
There are a whole other set of personal reasons that also sometimes contribute to leaving any PhD program. Circumstances change -- people get married, have kids, realize that they need to renegotiate their career/family balance, or have financial reasons they can't stay.
As for which particular schools are most cutthroat, it's somewhat a matter of personal taste. Chicago certainly has the reputation. I thought Wisconsin felt very competitive when I visited. In general, schools where substantial fractions of the class are asked to leave after the first year prelims are less congenial in the first year, because of the added pressure and the knowledge that either you or your new friends stand a reasonable chance of not being around for year two.