I'm looking for that Pearl Bailey record, too!
Like most of you, for me it depends on the artist. With some artists, I want a representative sampling, but there are those (Miles, Coltrane, Steve Lacy, King Oliver, and others) for whom I'm trying to find everything. In some cases I'm there, in some cases I'm close, and in some cases (like Lacy) I realize that it's probably impossible. At one point, I decided I wanted all of Sun Ra's recordings and found some cool rarities, but gave up on the idea of completeness pretty quickly.
I agree that sometimes a long-sought, elusive record disappoints, but often it's as good as we'd hoped. Before it had been reissued, I looked for a copy of Lacy's Disposability for years. When I finally found it, I paid more than I had ever paid for a record up to that point. And it's still one of my favorite Lacys.