One surely can start a company, even without EAD. Presence of EAD, though, makes possible to work for own company without immigration implications. However, one must not forget that this company can not sponsor his or her Green Card, no way no how. Therefore, keeping a ligitimate full time job for a well-established company is a must.
INS may question, however, the intent to stay with the petitioning employer should the Green Card be approved. If a person owns a business, it would be only logical to presume that the person will abandon the full-time job offer from the sponsoring company to devote him/her-self to own company.
I am not sure how to go about arguing this point. Perhaps, there is a lawyer around to share some thoughts on it.