If you're talking about the damage numbers you see while playing the game, a Felguard uses a 2 handed weapon while Wrathguards dual-wield. This gives Wrathguards a lower damage per attack and higher miss chance, so you will see smaller numbers. However, because of the extra attacks (for having 2 faster weapons instead of 1 slow weapon), Wrathguards attack more frequently, so you should see a lot more numbers, just smaller. In the end, a Wrathguard should do about 20% more damage than a Felguard over time.
However, Grimoire of Service (which directly competes against Wrathguards) gives Felguards specifically a damage edge when compared to other types of demons. Felguards are the only warlock demon with a substantial-DPS cooldown attack. Grimoire of Service (used every 2 minutes) gives every warlock pet about 16.7% more dps, because it can be active 1/6th of the time. Compare this to Supremacy, which gives a flat ~20% bonus. Because of felstorm, however, Felguards get more damage from Service than other pets. Felstorm has a 45 second cooldown, which means that every 8 Felstorms, you could have summoned 3 Service Felguards who will also Felstorm. This increases your Felstorm damage by 37.5%, in addition to the 16.7% non-Felstorm damage from auto-attacks and 'basic' (Legion) strikes.
I don't know offhand, but if Felstorm ends up contributing more than 10% to your Felguard's DPS, then the extra Felstorms will boost it by more than 3.3%, and thus Service Felguard will do more DPS in the long run than Supremacy Wrathguard. Considering that every Service Felguard (and bonus Felstorm) can line up with a Dark Soul for a big damage boost, I wouldn't be surprised to find that Service outperforms Supremacy for Felguard/Wrathguard, especially.
Roughly service is around 1% gain over supremacy on single target. If there is aoe involved then service is ahead because of the bonus felstorm. Now, it's one more cd to manage, if you tend delay it, you're probably better with supremacy (stick him on the boss and forget it).