Financial Engineering or Economics Major?

First, you already told everyone you are going to Princeton, so you don't need to disguise that anymore. (Also, I think Princeton is the only Ivy with an ORFE program). I'm a (fairly) recent Princeton grad, so I'll offer some advice...

When I showed up at Princeton, I went to the "Major Choices" event where upperclassmen talk to you about their majors, and the kid at the Econ desk told me that he thought ORFE was the strongest major at Princeton. I didn't major in it, but took most of the core classes and they were my favorite courses. Really well taught and (for the upper level ones) sufficiently practical.

In the end, it really depends a lot on what you are interested in. For IBD, I would say you will be equally prepared either way, as many of the upper level Econ classes most relevant to IB (Corp Fin., etc.) count as departmentals for ORFE as well. For BB S&T, I would say ORFE at Princeton is possibly the single best degree you could have from any school, and depending on your focus, you would also be well set up for the top prop firms and quant funds (Two Sig heavily recruits ORFEs).

But the real question is what interests you. Do you like math? Do you like programming? Are you any good at either of them? You won't have to do any elaborate proofs in ORFE (you actually don't even need to learn measure theory), but you will certainly have assignments that require some creative thinking and a few pages of calculus. If that doesn't sound like fun to you, ORFE probably isn't your thing.

One other thing to keep in mind is that ORFE is officially an engineering major, so you still have to do the freshman engineering requirements (CompSci, Chem, Calc 1+2+3, LinAlg, Physics 1+2), although you can use APs to place out of these (as an ORFE, there's no sense retaking chemistry). The benefit is that if any of the engineering stuff interests you, a lot of the upper level EE/MAE/CivE/CS classes count as departmentals for ORFE, so you have that freedom.

As for difficulty, obviously ORFE is harder than Econ. The coursework is more difficult and time-consuming and the curve is harder too. Also, since it's engineering, you have to take 36 courses instead of 31. You are right to assume there will be a GPA hit. But the ORFE program is really well known on the street, so employers will know that you had to work a lot harder than the hordes of Econ kids applying for the same jobs.

Feel free to PM me if you want more info, as I had several very close friends go through the Econ and ORFE programs and took a bunch of classes in each department as well.