Burgundy, well the Burgundian Circle, will officially be a part of the Empire. They probably will even be interested to stay a such and remain allied with their Spanish and Austrian cousins, since their biggest direct threat is France.
OTOH it also is in their interest to remain the possible relation with France, so a few royal marriages between the Royal hosues of Burgundy and France seem to be expected, if they both remain Catholic. However since the Burgundian Habsburgs will be a junior branch, they most likely will marry the younger daughters of the king of France (possibly from later marriages).
A protestant Burgundy will move closer towards protestant nations, like England, but France still remains their biggest threat. Especially given the territorial ambitions of French kings. (IOTL France expanded into the Southern Netherlands and threatened the Dutch Republic.) This doesn't mean other European Great Powers aren't dangerous, but those didn't share a border with them.
A lot will depend on the wars of religion turn out in their lands.
A united Burgundy (whether Catholic or Protestant), with Antwerpen and Amsterdam will be interested in colonial ventures too, so there could be some rivalry with Portugal, Spain, England and France over those matters.