This is the kind of question that drives you nuts because of the all or nothing nature of the word choice. If you put a gun to my head and told me to choose one or the other, I would say it is probably more beneficial to cry than to hold in emotions. But, my preferred answer would be a non-committal, "it depends." If a person is hurt, emotionally, fairly often the most cathartic thing to do is to cry. There are exceptions to this and to generalize that this is always the best thing would be a mistake. It may be the best thing. It may even be the best thing to do most of the time. But, not always.
First of all, why do we cry? As a general rule, crying is an involuntary reaction to various kinds of pain. When we were kids, we'd cry over physical pain, like when we 'd fall down and skin our knees. As a whole, when we get older, we suppress tears over physical pain. Personally, I remember one very prominent exception to this rule, when I had an ear infection that led to an ear ache that led to tears and I was already 23 years old. But this is the exception rather than the rule.
When we cry over emotional pain, it can actually be physically beneficial. During a crying session, histamine's are released. This is why we need to blow our noses during and after a good cry. Other chemicals are released as well. This is why we tend to feel better after a good cry. Again, as a whole, the act of crying is generally beneficial. So, what are the exceptions?
I think first and foremost, you have to think about where you are. If it's just you and a loved one and the loved one says something hurtful, it's probably okay to let it all hang out. In fact, you probably can't help it. But, if you're in a business situation-say a meeting, and someone says something that is particularly hurtful, crying is a big mistake. Not only does it give the appearance of weakness, it also gives the appearance of manipulation. Yes, depending on how seriously you take your job, if someone says or does something to make you feel incompetent, it could hurt enough to make you want to cry. But, the act of crying may just feed the image that you are incompetent, or at least weak. If you have to cry, try to do it later, when you're alone or with one or two people you trust. Saving a cry can be just as cathartic and can assist you in maintaining a professional, non-manipulative demeanor. While I understand and forgive the occasional cry, I tend to think that those who cry very easily can be exploitative. It's sort of like the boy who cried wolf.
So, is it better to cry when hurt or hold back all feelings? As a rule, I'd say it's better to go ahead and cry. This can be cathartic and beneficial. But, be aware. Crying too much in front of too many people can lead to a reputation of being a manipulator and reduce your credibility.