1 - it has far less scriptural support.
Let's face it both doctrines are designed to scare people into giving their time and money to a religion but those that teach hell fire can at least point to a number of Bible verses that talk about fire and death/punishment together, whereas shunning is justified by one single verse that is simply saying don't give your blessing to the antichrist.
2 - Emotional pain is generally worse than physical pain.
Ask anyone who is grieving or on the wrong end of an unfaithful partner which they would rather have. Would you rather your wife, child or best friend died while still loving you or shunned you while alive?
3 - Hell fire is not real but disfellowshipping is.
If someone tells you that you're going to hell but you don't believe in such a thing. ..happy days, who cares? On the other hand if you don't believe in shunning but everyone around you does there's nothing you can do about it, you can't even reason with them because they won't talk to you.
So the next time a jdub tries to claim the higher ground because their precious organization doesn't believe in hell fire, know that they are talking pish.