Theres an allegory I like a lot that is really a mirror of this situation. It's the story of a place called Chapel Perilous. The Chapel Perilous has invisible walls and invisible ceilings and it moves constantly across the world. A person can litterally stumble in and never know that they've entered; by the same token a hundred years of searching might not show you where to find it. The rooms in Chapel Perilous never seem to end and many of them look exactly like the places we go outside the chapel. Of course, none of them are quite right and some of them are unimaginable.
The Chapel Perilous was a place a person stumbled into where their basic view of reality was challenged and they were taught the true nature of life. You could never tell if you were in The Chapel Perilous, because it looked just like everywhere else. And, as such, you could never know if you'd left.
The story went that if you stayed put in one room and never tried to leave for fear of being lost, you went insane. If you stormed through all the rooms hoping to force your way out, you got lost and were never allowed to leave. If you accepted that you were trapped, didn't search for an exit and tried to learn the lessons, The Chapel released you. You could never tell if you were out though, so by the time you'd left Chapel Perilous you were either dangerously paranoid or completely apathetic.
That wrap comes to my mind whenever people talk about going down the rabbit hole or talking the blue pill. If you immerse yourself in a world that isn't your own, it changes who you are fundamentally. You can never quite return to the world you knew before you left, and if you don't enjoy the world you've entered, your sorely out of luck.
Thats the burden of going down the rabbit hole. Finality. You have to accept a permenant break with your world and a permanent break with your self. You have to do this without the promise of anything being given in return for your trust. With the knowledge that you may in fact be in danger.
That being said, I'd like to think I'd chase after the rabbit, but I'm honetly not sure. I don't think anyone could be until they've been given the chance. It's a gut check kind of thing that's hard to predict. I hope I would say yes, but I don't know.