It depends on how deep you want to go. Let's make a chart, shall we?
SF2HDR --------------------------------------------------------------SF4
-Casually playing --------------------------------------------------Casual playing
------easier motions to execute ------------------------------------------harder motions, but more forgiving on input
-Mid-range playing-------------------------------------------------Mid-range playing
------Combos w/o links -----------------------------------------------------combos w/o links, more forgiving input
------Reversals MUCH harder ---------------------------------------------Reversals very easy, even on crossup
------n/a ---------------------------------------------------------------------------Focus Attacks, absorbing / parries
------n/a ---------------------------------------------------------------------------cancelling Supers from specials
-High-level play ----------------------------------------------------High-level play
-----1 frame links for some -------------------------------------------------1 frame links for EVERY character
-----using Supers in combos ----------------------------------------------FADC --> combo reset or super/ultra
Now, IMO linking normals together (the level 5 trials) don't come into play until you get to a higher level of play than most of us are currently at. Note that at mid-range play, you still have a lot more to learn in order to be competitive. The same is true at high level play because roman-cancelling (FADC) doesn't exist in HDR.
Therefore, if you want to just dick around, SF4 is much simpler. However, as you practice to a point where you're not flailing around with the buttons, it's easy to see that SF2HDR allows for easier access to the higher levels of play.