Furies are better; they have 2 more initiative points, and 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 units. Zombies and golems don't have morale, so it's still tolerable, but it's better to have an initiative at least twice as high against living units, otherwise they might get a positive morale boost, and there's a chance that the Megera won't be able to escape. The chance of this happening is much lower with furies.