Well unlike Arthas, Sylvanas gives her Forsaken a choice in the matter. I remember quite clearly that right after you start out as a Forsaken, you're essentially told: "If you don't enjoy being undead, you can lay back down into the grave, no questions asked".
So while Forsaken and Scourge are both undead, they are relatively free under Sylvanas (she remembers being a slave under the Lich King after all..), while Arthas put the chain around every undead's neck under him.