Most Covenants, with the exception of Necrolord, are quite powerful for Arcane, but Night Fae does have a clear edge over the others in all forms of damage. The cooldown reduction provided by the ability is extremely beneficial to Arcane mages, which is what makes it the best pick at the moment.
Covenant for fire mage in Shadowlands
It's honestly extremely difficult to find detailed information about Fire Mage, because almost all theorycrafting happening atm is focused around Frost or Arcane, as they tend to be performing better. That said, the general consensus seems to be that most covenants are relatively equal in power level for Fire. If anything, Necro and Venthyr pull ahead SLIGHTLY on Single Target, whereas Night Fae pulls ahead on AoE. As mentioned before though, there hasn't been even remotely as much testing for Fire as there has been for the other two specs, so it's hard to say.
Covenant for frost mage in Shadowlands
Covenant Balance is extremely tight for Frost Mage, to the point where I don't think I can call one as being the "BiS" pick. While Venthyr has a very slight edge in ST, it falls off a bit on AoE, where Night Fae holds a slight edge. That said, Necrolord and Kyrian are both extremely close in both forms of damage, so it's really hard to make a "wrong" pick for Frost Mage atm.