In certain cases it may be that getting a mild infection does help prevent later more serious infections, but AFAIK those cases are generally getting infected as an infant or child. I’m not aware of evidence showing that current widespread vaccines for adults have this effect of trading mild illness now for more serious illness later.
But it's not universally true, varies for different viruses, and also isn't fully understood whether it's the case for covid. So far seems like a safer and less miserable opinion to get vaccinated rather than get sick with covid.
Your only "sick" because you didn't pro-actively teach your immune system to handle that flu.
This is precisely what vaccines do, without the "falling sick" part first.