Distance metrics are central to machine learning, yet distances between ensembles of quantum states remain poorly understood due to fundamental quantum measurement constraints. We introduce a hierarchy of integral probability metrics, termed MMD-$k$, which generalizes the maximum mean discrepancy to quantum ensembles and exhibits a strict trade-off between discriminative power and statistical efficiency as the moment order $k$ increases. For pure-state ensembles of size $N$, estimating MMD-$k$ with arbitrary measurement schemes requires $Θ(N^{1-1/k})$ samples for constant $k$. At the same time, we prove that any stable distance metric with full discriminative power admits an $O(N\log N)$ upper bound and an $Ω(N)$ instance-gap lower bound. For quantum Wasserstein distance, with sufficiently large fixed state dimension, we establish a nearly linear lower bound in the ensemble size at constant additive accuracy, together with an $O(N\log N)$ upper bound. These results provide principled guidance for the design of loss functions in quantum machine learning, as we illustrate in training quantum denoising diffusion probabilistic models.

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