Here is Tennyson on the same theme. The question is somewhat lacking in definition; what is the context of the pain? And what is meant be nothing?
In the broadest terms, 'nothing' must mean death. This is because there is no neutral or middle ground between pleasure and pain; if you aren't experiencing pain, then you are either experiencing pleasure or not experiencing anything.
In Tennyson's case, we can regard the pain as transactional; 'The pleasure I had in spending time with you is worth the cost of the pain I'm now feeling over your loss.' I would hope (contra Plutarch) that the study of philosophy would help one to manage that grief and reduce that pain. Either way, in this transactional sense, 'nothing' doesn't actually mean nothing; it simply means the loss of something or someone.
So there are actually two questions;
1.) Would Epicurus choose a life of pain over death?
Accounts differ. Principal doctrine 4 suggests that pain is mostly manageable. As it says elsewhere, 'there is more reason for joy than for vexation.' However, Torquatus complicates things in this passage:
"It is schooled to encounter pain by recollecting that pains of great severity are ended by death, and slight ones have frequent intervals of respite; while those of medium intensity lie within our own control: we can bear them if they are endurable, or if they are not, we may serenely quit life's theater, when the play has ceased to please us."
2.) Would Epicurus support the view that it is "better to have loved and lost, than never to have loved at all"?
Yes! Not because he wants to live with the pain, but because a major focus of his work was in managing and reducing mental pain. The death of his closest friend Metrodorus must have been a hardship to him, but he did not for that reason denounce friendship; it was just the opposite. He praised friendship as an 'immortal good'.
Principal Doctrine 27: "Of all the means which are procured by wisdom to ensure happiness throughout the whole of life, by far the most important is the acquisition of friends."