What state's secession was the worst for the confederacy?

Not sure what the question means.

Do you mean worst for the Union? That would be Virginia. It meant that Washington DC had enemy country starting just across the bridge.

Or do you mean, a slave-state that decided NOT to secede? That would probably be Maryland, as it would have largely surrounded Washington.

Or do you mean the new state of West Virginia? That one voted to secede from Virginia and the Confederacy, and made a (not entirely welcome) gift to the Union.