The best and worst thing about mindless undead labor is, of course, that it's mindless. Sure, there's less upkeep involved, but they'll never get anything right. And of course you can't be seen in polite society with them, at least outside of Geb or the more open-minded districts of Kaer Maga.
Devils, on the other hand, are quite intelligent. Bind them properly and they will carry out your instructions to the letter. What's more, the best of them, like Plutark here--oh, but of course you lot won't see him, will you?--can make themselves unseen, or at least unnoticed.