I don't particularly see Thrall as a Mary Sue. I see him, in contrast to Garrosh, simply being a more neutral character, which is different from a Mary Sue. Garrosh tends to go to extremes - we've never seen him just act neutral about anything. He has his extreme sadness, to extreme domination, to extreme prejudice, to extreme daddy issues. Thrall is more centered, but he does have emotions, doubts, and flaws. the Elemental Bonds questline simply tried to show that to players, but didn't do it that well, because in the end it didn't matter anyway. He still allowed the Alliance to help him, even after showing his anger toward Varian. He still allowed Garrosh to become Warchief, even though he felt that he had doomed the Horde by doing so. It simply could have been executed more elegantly, and more often to reaffirm the notion.
I would consider Anduin more of a Mary Sue. His mindset is always "do the right thing" about everything. He has no plans for revenge or malice. The worst he's done is disobey his father in the Twilight Highlands pre-quests, and Jedi mind-control Sully in Jade Forest to get his way. But, he did both of those things for the betterment of the world. He isn't a very multi-faceted character at all, and doesn't have much of his own personality in my opinion. He has even taken the role of Jaina pre-MoP in his ongoing quest for everyone to get along and be neutral. He isn't even mad that Garrosh, like, broke his entire body.
Compare both Thrall and Anduin to Garrosh, now. He, as well, isn't a multi-faceted character. He is completely controlled by his emotions at all times. We have been shown time and time again that he wants power, land, and approval. Thrall and Anduin both want Azeroth to be safe. The difference now is, Thrall has choices to make regarding his own mistakes, and acknowledges his mistakes in the Elemtal Bonds questline, in 5.1's quests, and the things we'll see in 5.3. Thrall has emotions, but he isn't (always) controlled by them. A Mary Sue, in essence, has no other feelings than "I hope everyone is happy. "