Namely, the first Incubus (or male Succubus/Sayaad) we've ever met in Warcraft.
He has their horns, their hooves, has a sultry sexy low-cut v-neck and a knowledge of sins and dark magic. It's looking very likely that Denathrius created the Nathrezim in his image, but it's a mystery as to why he's lacking their wings while retaining their other physical traits.
Perhaps male Sayaad lack wings. And he tacked them onto the Nathrezim because he's always lacked them himself. If you note here the wowpedia even mentions that they look so similar to Nathrezim while being a different species... and I doubt that Denathrius created the Sayaad as well.
https://wow.gamepedia.com/Sayaad
While it's weird that a demon could've somehow became a god of the Shadowlands (with demon souls) all four of the Eternal Ones seem to have weird traits and backstories, so maybe that's his own.
Also note this tidbit mentioned as a rumor about incubi:
Incubi are kept as slaves on their home planet,
having been rendered incapable of escape or independent movement.
So, wingless?
Also could explain why there are no female Dreadlords: because they were made by an Incubi and did not want female agents, maybe because of some kind of trauma. It sounds like a joke but if his wings were torn off or melded off by female Sayaad...
EDIT: This also explains why the Dreadlords are so willing to fuck over the Legion despite being such a big part of it. They could be descendants of a demon who felt no love whatsoever for demons and sided with the Jailer over his own kind.