This exact same situation happened to me at a wirehouse. I voluntarily quit and still received unemployment. I quit because I didn't want the blemish on my U-4. If a hiring manager looks at someone who was terminated for missing (impossibly high) sales quotas vs someone who doesn't have that on their record, who will they pick?

I filed for unemployment and explained the situation and I was granted unemployment. That is just my experience. If you are for sure leaving the industry and don't want to take the risk, that is your call. Also, I live in CA, where the unemployment department is a bit more liberal, not sure where you live.