PROS:
Shreds melee
Good self sustain 1v1
Highly mobile in team fights

CONS:
Poor lane clear
Not great at soloing camps
Weak against assassins with high mobility
Slow attack speed might feel clunky to people used to bruisers and melee assassins

Ultimate:
Tormented Souls is the easy choice if your team doesn't have late game advantage heroes. Last Rites needs to be performed as a pseudo combo Shroud - Wraith - Soul - Last Rites.

Other talent choices:
If you're getting pulverized each fight, Malthael has a couple of defensive talents you can spec into. It is up to the game you're in and how the other team is handling you. Cold Hand/Ethereal Existence are there to save you but at the cost of damage.