This is true. Some of the extremely rare auto-immune issues that have impacted people who have been vaccinated for specific flu viruses in, IIRC, 1976 and 2009, were thought to occur at even higher rates and severity with people who contracted the virus. So, vaccination might impact you, but likely worse the the virus itself due to the greater amount of virus in your system.
I am not a scientist, but I would expect that the mRNA vaccines would have less of a chance of having an auto-immune reaction since they contain only one of the many proteins contained in the actual virus.