He's built himself up for one hell of a fall. If he loses, particularily by knockout, it'll be very hard to live down. By decision he might be able to complain about biased judges or referees. I think he almost certainly will go through with retiring if he loses, if he wins I'd wager he changes his mind when he sees the money on the table.
Haye doesn't strike me as someone with such a huge ego that it makes him deluded. I think he has a good balance between being confident and being honest with himself. People need to remember Haye before he was a ppv seller. He's the sought of guy that would admit he had dodgy whiskers and would struggle with certain opponents. I think he'd deal with a loss as well as anyone.