I was more disappointed by the fact that Archimonde and Medivh don't have a soundset even though they have many lines of dialogue in in the campaign cinematics.
Sylvanas (elf not undead) and villagers (Men, Women and Children) have incomplete soundsets, which means they can only be used as Neutral Passive units, like critters, not as regular units.
There are also many creeps that have a couple of lines of dialogue in the campaign, but their sound sets are just various unintelligible growls/rumbles/gurgles/squawks: Centaur, Doom Guard, Dragons, Furbolg, Wraith, Gnoll, Harpy, Murloc, Revenant, Wildkin.
They should have at least made Doom Guards that can speak since they can be controlled as summoned units, but nope, someone at Blizzard decided that it would be better to just combine the Wendigo and Zombie soundsets.