I mean... not to get all Camus on you, Vaalingrade, but if the question is about whether serving is better than not existing one has to ask if living is better than not existing.
And then it becomes a matter of degrees. 'Cause while there -are- religions that talk about serving in the afterlife in FR, most of them are in fact evil religions. With good religions just kind of trailing off with "You go to eternal reward". Not really much statement about "Serving" in the afterlife.
Then again, if you're gonna be super evil and thus try to be a Balor or Pit Fiend, why not be super good and try to be a Solar, instead?
In either case you're acting in your life to have a result in the afterlife. Doing great works of good to serve in a higher position in the heavens (or just chillax for eternity having a party) or doing horrible things to other people in the hopes of getting ranked up in hell.
Unless you're someone who is -actively- an evil person and enjoys doing terrible things you're probably looking at Lemure status in the hells.
And... really... is that any different from being a decent person in the heavens? Either you're serving the gods or you're serving the Devils. One of which is also a god so...
You really showed them by doing terrible things to innocent people for the chance to serve a different deity. Good job!
Truly is a damned if you do damned if you don't situation. Serve heaven, Serve hell, Cease existing.