Kyrian was, at least at the time of launch, the numerically superior dps covenant for shamans, and understanding that fully well, I went Venthyr anyway because the Kyrians simply don't interest me in the least.
And even if the Night Fae or Necrolord transmog interested me more or their abilities were numerically superior, I'd still stick with Venthyr because their whole aesthetic pleases me far more and their ability feels so much more impactful, especially as enhancement shaman.
Frankly the only thing I wish I could have from another covenant is the blink/spirit form from the Night Fae, but even that I can't justify given Ghost Wolf form can already reach 60% passive movespeed with warmode talents active, and I exclusively play with warmode active.