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As you can see from the Glory Rewards Table, the glory from bonus objectives is a significant percentage of the glory earned (37%-100%). In the case of NPCs, you don't get any glory if you don't complete the bonus objective. You should always attempt the bonus objective if it is possible to do without losing most/all of your army.
This takes judgement and experience. Bonus objectives that significantly limit your tactics are usually the hardest and should be avoided (Advantage, Interference and Control). Most other ones should generally be attempted.