Well, Taqwus, few claim that there is no down side to dying...
The loss of holy status (I hope) is a bug. If at least that was resolved, it'd be nice - those Dancers/etc that get converted will come back with a hefty Fear aura, so although they still will fight like beserkers armed with wet noodles, they could still cause some fear in the enemy. Plus then secondary bless effects would be viable.
But the MR itself isn't too bad if you plan around it. Most global spells that require an MR check don't work against undead, so you are safe there (Mind Hunt, Vengeance of the Dead. In fact, are there MR Global spells that work on undead?).
In battle, if you keep them in the way back they are out of range of banishment and Control the Dead as long as the priests don't break the line. Also, get some fodder for enemy priests to shoot at - your pretender can summon some higher MR and HP undead for the mid line, and enemy priests will bLast away at the closer units first. If your line gets penetrated bad enough for them to get past that, well you probably would have lost anyway.
Since the undead status gives you immunity to a host of other battle spells (all mind spells like Soul Slay, Enslave, mind bLast, Fear etc, cold spells, poison spells) that have longer range, the Soulless is usually safer than the pre-dead Version. Particularly for Pythium, you can then play with some nasty communion combos to get battlefield wide enchanements that aren't hurting your precious commanders (Astral Tempest, Soul Drain, Grip of Winter, Foul Vapours (need Jade amazons)).
In the end game, Solar Brilliance and Undead Mastery would be a problem, but at that point any real mage has a chance to seriously hurt a big army, especially if you are just a one trick pony at that point.
Mainly because of the 0 encumberance, I would rather have soulless Versions of certain mages than the normal Versions of that mage, even with the current drawbacks. Just have to be careful with your new undead buddies!