I agree, with Furies and Megeras, there's a better chance of breaking through such creatures.

Furies are better; they have 2 more initiative. Their initiative is more than twice as high as that of Zombies and Steel Golems, twice as high as that of Demons and Swordsmen with upgrades, and almost twice as high as that of some other infantry. Zombies and Golems don't suffer morale penalties, so it's still tolerable, but against living stacks, it's better if the initiative is at least twice as high; otherwise, they might get a positive morale boost, and there's a chance that the Megera won't be able to retreat. With Furies, the chance of this happening is much lower.