Their More Loving One

That what is needed in love is generosity and what matters if being able to love someone, whether or not it is reciprocated. 
Rather than be so cold and impersonal, its better to be the one who is the worshipper, the "more loving one" because that way one is at least, despite the pain, affirming his/her humanness, his/her emotional self and making him/her a more whole person than the unloving star ever will be. 

There are often people who write about being in love with someone who doesn’t reciprocate it, or in a relationship with someone who doesn’t love them as much they love the other one. 
This seems terrible at the time, but Auden is saying that perhaps its not so bad (perhaps influenced in this by his own relationship with Chester Kallman. It was a lasting relationship, but it seems to have often been an unequal one, especially as Auden grew older). It’s more important to feel love than to be the cold loved one. 

But the next two verses seem almost to reverse this. Is he saying that we also need to realize that the stars aren't so important? Or that we will realize over time that the objects of our affection aren't so important? I think he could be arguing the case for reality. Yes, it’s important to love the way he says you should in the first half. But it’s also important to remember that the pain you'll feel of such love will go over time. That time heals all things, deadens emotions.