Which hurts more?

Reigns winning and being a flop as a champ/draw

OR

Reigns losing after all of the buildup and hype?

Long term, neither are good for him, but which one sets him back more?

Winning and flopping.  If you lose, you're losing to Brock Lesnar, the scariest man on the planet and World champion, and you can at least go somewhere from there.  If you win and flop, that's a stink that takes a long time to wash out.  Plus they've put all the booking eggs into this basket, and if he's not getting over by beating the 1 in 21-1 who crushed John Cena for the title, there's little more they can do for him.  Brock should win and Rollins should cash in on the post-WM RAW while Reigns goes away for a while and they repackage him somehow.