Personally, I find converting shards to Death Shards to be a generally poor choice, since there isn't a lot in Death Magic that is sufficiently improved by shards to really tempt me to wreck my other magics in order to boost Death. Moreover, I have never really liked the Cyndrum Demons, since they are a pain to keep alive until they have the numbers and levels to take a few hits, and you always want them to get the killing blow (at least until they max out their unit count). On top of that, they slow my normal armies down. Burning Wraiths seem to me as though they don't really offer that much to counterbalance their fragility. Grave Elementals are useful as early tanks, but are a bit slow for my mobile armies once I can afford to field mounted units in quantity. Crow Demons are nice if you can keep them alive, but they are very fragile. I don't believe I've yet had a Mirror Elemental to play with.
Over-all, I'd say that, of the five bound demons (four of which I've played with), I like Crow Demons and Grave Elementals best, and don't much care for Burning Wraiths or Cyndrum Demons - although I'll keep the Fire Shards, because to me fire magic's power makes up for the Burning Wraiths, while Death Magic doesn't have anything that makes shard conversion really tempting, and Cyndrum Demons are not that great in my opinion.
Also, Dirge isn't good enough that I'd convert shards over to Death simply to make it more powerful. Horrific Wail, perhaps, but not Dirge of Ceresa or Contagion.
