I consider the only reason some airlines appear to favour employing integrated pilots over modular is because they have considerably more debt, thereby making them much better employees. They'll do anything to keep those repayments going - whereas non-indebted employees have a certain freedom that often leads to .... how shall I say this .... "independent spirits".
I doubt bankrutpcy itself would cause any problems but not having any debt might make an airline less likely to want to hire you - not that they are likely to find that out of course.