Both are hard to learn. But it gets harder if you find yourself not able to control yourself and your emotions, as it will only prolong your losses, hence winning long term remains a struggle.
Well both may be difficult but I think it's best to settle for the conclusion that self control is more difficult since basically more gamblers struggle to maintain it. Another thing is self control can be related directly to long term winning because practically speaking gambling addicts have the least level of self control and as a result they also tend to be the ones who lose most in gambling.