It is recommended to also look at u/Whitesushii's affiliated visual guide which can be found in the FAQ/Guides section of the subreddit. This post assumes you have taken a look at that guide already. It provides in-depth information about the Lost Sigils event of May 2020.
This post provides some quick general notes about what in the guide does or does not apply in general to the recurring event.
Lost Sigils is a recurring event and although the aforementioned guide is specific to the May 2020 version of the event, it covers much of the general information. The Hero rewards vary event to event with different heroes being substituted in each time the event comes back. The distribution of faction emblems required for each reward can also change. Rewards can also be added with each iteration of the event and the cost for each reward could also see changes.
Although the hero distribution fluctuates between events, the mentality associated with which rewards to choose generally remains the same. The highest value resources are generally the red chests for SI 20+ upgrades or the Celepogeans offered in the event (depending on which ones are offered). Talene, the twins, and Mehira are generally considered some of the highest value Celepogeans. Some others, like Zolrath and Wukong, have more subjective value because, although they are great heroes, Zolrath is mainly PvP focused and Wukong is available in the labyrinth store. If you are not focusing these heroes and they are the only choices available, red emblems will generally be a better choice.
For other heroes, they are only ever remotely worth it if they are a high tier hero (Ferael, Eironn, Rowan, etc.) you are 1 copy away from ascending and even then, that is somewhat debatable.
Hope this helps!
Credits to u/zeedafluff.