As with Da’at: Minato and the Sign of Love/Water Nymph quests, Da’at: Shinagawa has its own choose-your-own-adventure side-quests. Those Seeking Sanctuary has you siding with the Lilim, which are Chaos-aligned demons typically while Holding The Line has you assisting Principality, which are very much Law-aligned Servants of God. You can only choose one quest to complete, as upon picking a side, the other quest auto-completes with no rewards. So which side should you choose? Both have pros and cons, much like most choices in Shin Megami Tensei V, so let’s discuss them.
Firstly, the rewards — Those Seeking Sanctuary grants you a Dark Sutra and your own Lilim demon. Lilim is pretty potent, coming in at level 32 while you are most likely around level 28 — and boasting a fairly high Magic stat alongside innate access to Mazionga. Lilim hits very hard indeed, but sadly has no real bulk to speak of and will die if a Jack Frost so much as looks at her.
Likewise, Holding The Line grants you a Light Sutra as well as your own Principality. Like the Lilim, Principality comes in at 32, but unlike Lilim, equipped with Hamaon, Mahama, and Diarama. This likely will be your earliest access to Diarama, a spell that can nearly heal your Nahobino to full from critical HP.
Both boss encounters are fairly easy to handle, so there is no easier choice, and both quest locations are easily accessible, so there is no time difference. In short, you have to choose whether you want more Magic damage in Lilim or solid single-target healing in Principality. You can, of course, fuse new skills onto both demons via the World of Shadows, so it comes down to personal choice.