"Valuable", in a market sense, means people are willing to pay for it. Apply for the same set of jobs, once with a graduate degree and once with a failed startup under your belt. See how many companies are willing to pay for your services.
My hypothesis is that there are disjunct sets of employers who will value one over the other, but the set of employers who value startup experience value it more than the set of employers who value grad school experience value grad school.
My suspicion, and only suspicion, is that you are largely right. Of course, I also think it matters how far along you got in the process and waht kind of stories you can tell from it.
I suspect that the founders of a company that put out an actual product with real users, hired non-founder employees, and perhaps got VC level funding at one point is much more valuable in the market than someone who filed the papers to officially incorporate but died while still working out of a garage with no non-founder employees and few users.