I like to match Pokémon with a visually fitting ball when it's feasible, but it's not the most important thing in the world for me, either. Like, would I have loved to catch that Shiny Kricketune in Omega Ruby in an Ultra Ball? Absolutely. But when the thing's on its last turn of Perish Song and it's broken out of every ball you've hucked its way, it's at that point you gotta ask yourself, is it worth the risk? So yeah, next turn, I went straight for the Master Ball, zero regrets.
KomodoZero I did that sidequest, but I went a little more overboard- I was intent on getting Diancie in my one and only Love Ball, and while this was absolutely brutal, I got there in the end, and regret nothing. It doesn't autosave when Diancie faints, so I'd just KO it, go for the Love Ball, reset when it fainted, and repeat the process. It took me a decent chunk of that afternoon, but it didn't feel like a waste of my time, which I think is what's important.