In case you don't remember exact modifier values, here's
this neat table.
Most Horde units have heavy armor or unarmored, and only 3 units have medium (hunter, spearthrower, raider), not including trolls since I dealt with them so fast I didn't pay attention to stats of their units.
NE units have almost entirely medium or unarmored armor, with some animals having heavy armor.
So who benefits from changing its damage type to chaos?
Heroes benefit from it entirely, since hero type attack does 100% against everything except buildings, so with chaos damage heroes now deal 100% to everything.
Casters do magic damage - weak vs heroes, buildings and medium, but good vs light and heavy. Since most of Horde units are heavy armored, against Horde changing magic to chaos results in
decreased damage output for casters. Another important thing to note - demoness with chaos damage can't attack spirit walkers in ethereal form, and parasite can't kill them either, so that's another very noticeable argument in favor of magic damage.
Against NE it technicaly might be better to have chaos, but in practice it doesn't matter really because casters have unarmored armor while archers have piercing damage, so casters have no change in such case anyway.
Ranged units do piercing - weak vs heroes, buildings and medium, strong vs unarmored and light. Against Horde it's a tradeoff - with piercing you can kill casters better, with chaos you can kill medium-armored units better. Overall - both options are ~equally beneficial.
Against NE it's more nuanced. 2 demons' units that might have piercing are beholders and core fiends. If core fiends have piercing, they can do more damage vs hutresses and dryads, but less vs archers. So is it worth it do deal more vs archers? Not really, since archers do piercing and core fiends have medium armor, but huntresses have normal attacks, meaning huntress is way more dangerous for core fiend. Beholders don't care about huntresses but they care about hippogryphs, which have light armor. So for beholders it boils down to - do they fear hippogryphs + dryads more than archers? I think that's again an equal tradeoff, though personally I'd prefer them to have piercing so they could kill dryads faster.
Now, I didn't really take into account damage output vs heroes, because vs them you're much better off to use your own heroes and because heroes are very few in numbers, so damage output vs them is not that important.
I also didn't take into account buildings, because that's more of a playstyle dependent thing. Personally, I rely almost entirely on heroes and siege units to destroy buildings, so damage output of normal units vs buildings doesn't matter much for me. Especially when Juggernaut is so strong (might even increase its food cost up to 4). For other people damage output vs buildings might be an important factor.