The whole schtick for Sophitia to fight in Nightmare´s side during SC4 is that her Pyrrha will die if SE gets destroyed. Of course, her dilemma really doesn´t go anywhere because in Sophitia´s ending Algol suddenly turns into a Walt Disney character and explains her how motherly love is stronger than everything and removes the problem off her hands altogether.
That said, taking SE for herself would be her best option. She cannot allow it to be destroyed, nor she can allow anyone else to have it for the same reason.
Now, if Nightmare this time around is truly Sophitia, you can bet Namco will be trying to pass her out as a tragic character.