Well... it may be not be THAT big a deal.
Gaining a modifier is a +12.5% bonus to HP.
Gaining a weakness is a +4% bonus to HP.
Gaining a magical resistance is a -2% penalty to HP.
Gaining a physical resistance is a -3% penalty to HP.
Gaining a magical immunity is a -3% penalty to HP.
Finally, gaining a physical immunity is a -5% penalty to HP.
Even in the most extreme case (turning a physical weakness... +4%... into a physical immunity... -5%), you only swing 9% HP... which means the modifier's 12.5% still overrides it and gives you 3.5% more than you had before.
As for which resistance strategy to pursue, the short answer both approaches are pretty valid, as there are some pros and cons to each:
Demons w/ lots of resistances:
+ Unlikely to be a victim of pile-ups: with multiple resistances, it's more likely at least one enemy will find them an unworthy target, discouraging the enemy from just all ganging up on them.
+ More economical use of stable space: Covering more resistances per demon leaves you with more stable room for other things.
- Lower HP, which may make them difficult to use when not facing the elements they resist, even if they aren't weak to the elements being used to attack them.
Demons w/ lots of weaknesses:
+ More HP against their chosen resistance types. A Fire resistant guy with 5 other weaknesses will have considerably more HP than a Fire resistant guy with 3 other resistances and just 1 weakness. Against a Fire enemy, the pile of weaknesses demon will be able to survive longer.
+ More HP in general, even during times when the resistances/weaknesses don't come into play. Slimes for example, can do well against Slash and Impact using enemies, even though they don't resist those types, simply because they have so many HP from the weaknesses that they can stand up to them.
- Requires more stable room to cover resistance types.
- More likely to be forced out of a fight quickly if enemies are capable of hammering on any of their multiple weaknesses.
The relative value of these pros and cons is somewhat a matter of playstyle and personal preference, I'm not sure I could make a claim on one approach or the other being outright better.