I'm not sure there's much meaningful diversification at Lending Club across loan quality. The important diversification is to have a lot of different borrowers.
When you talk about diversifying investments, what you're going for is to have uncorrelated asset classes, so when one thing goes down, something else might go up, giving you overall less "noise" and more consistent results.
Across loan qualities, correlation is pretty high I bet. If consumers come under economic strain, you'll get increased defaults at all loan qualities. It isn't like having stocks and bonds, where one might go up while the other goes down. All the loan qualities will (relatively) suffer at the same time, though the lower qualities will (absolutely) suffer more. Anyway the correlation probably isn't perfect so there's probably some theoretical diversification benefit across loan qualities, but I just doubt it's big. Maybe someone else has numbers.
What you do need is diversification across borrowers. All the loan qualities, statistically on average, should have similar returns (slightly more for lower quality). But they get there in a really different way, either lower interest rates with few defaults, or higher interest rates but more defaults. The "more defaults" way is lumpier and should take, on average, more borrowers and more time to average out to the expected rate of return.
Regardless of loan quality, if you only loan to a few people you could easily lose all your money. Important to spread out among a lot of people so you can be fine if some of them take the money and run.