At the moment they do this, they basically are. In "Illidan", the novel, it explains that this happens after first witnessing the vision of what the Legion really is, how hopeless our struggle is, and the suffering they are inflicting across the universe. Some of the first DHs commit suicide at this point, and subsequent survivors are all put on suicide watch. The attrition rate between those who find their way to Black Temple asking to become DHs and those who survive the transition is very high.
Not saying they have it rougher than DKs, but living as a freak with a demon inside you that you're constantly battling to control... I'd say both groups are fairly screwed up.