Currently both Kyrian and Venthyr are almost dead even on both Single Target and AoE. It's hard to say which one is better, so I'd recommend picking whichever of the two you prefer in terms of aesthetic or playstyle.
bis Covenant for fury warrior in Shadowlands
While Kyrian isn't bad for Fury, Venthyr is just a better option in every form of content currently.
bis Covenant for protection warrior in Shadowlands
The best covenant for Prot Warrior is the reroll button, as currently they are just not a viable tanking choice. All joking aside, Kyrian and Night Fae are both pretty close, but that's mainly because they're just generic "deal AoE damage and generate X rage" abilities without much other thought required, and the numbers are almost identical. Aside from the visual effect and CC differences, they might as well be the same ability.