It's because they're none of those things really (as lore characters do not follow the class restrictions and options afforded to layers), but they have to be referred to in a way so that people know what to expect.
As such Anduin is referred to as a paladin when he acts as a paladin, and Thrall is a warrior when he acts as a warrior.
Keep in mind that the primary reason my warlock cannot also simply pick up a sword, shield, armor and act like a prot. warrior is purely gameplay reasoning; there's no reason why one could not be trained in both ways of combat.