As time went on, I had bad skin irritation from the nasal mask. That motivated the switch to pillows, even though I found them less comfortable.
I have since found more comfortable pillows, and I'm more compliant than I ever was with the nasal mask.
Summary: pillows are working much better for me, but it probably boils down to comfort. Do not be afraid to try multiple things. I have had much more success from switching masks than from continuing to try to get used to a mask that was not working great for me.