It's a valid question, but they also aren't all equal. A regional title is significantly harder and less likely to happen than the other 2 choices.
Not that they are also mutually exclusive choices, but they often are. I mean, would you prefer going to a Final Four once in 10 years and not winning your conference any of those years? Or would you rather win your conference 3-4 times in 10 years and not go to the Final Four?
But the thing is - you just need to win. Personally, I couldn't name the 4 teams that went to the Final Four last year - but I could tell you who won the Big Ten regular season and tournament. But hell yeah, I'd love to go to a Final Four.
Overall, you just want a reputation for success. This isn't even that extreme of an example, but you look at Michigan - it's hard to believe they were in a Final Four a few years ago. They haven't been relevant in the Big Ten since. They'll make the tournament, but you don't really think of them as "players" in the Big Ten the last few seasons.