Dremora Lords do more damage than the Wrathmen and have better defense.. However the Wrathmen is governed by the Necromancing perks so they can last longer and gain 100 more health.
My impression is that the wrathment have much better pathing than Dremora Lords. If a melee summon can't actually get to the enemy, it's useless, but my wrathman is pretty reliable.
Strange. My Dremora Lords seem better at pathing than my Wrathmens.