Ethereal is great if you know exactly what you are facing.
Are you playing against high elves? Make your slann ethereal and keep him away from combat and he'll be fine.
Are you playing against wood elves? Sucks for you. Your slann is a big, expensive bullseye for all of their archers, and you can't put him in a unit to hide from arrows.
Are you playing against ogres? Great! Make your slann etereal and keep him away from combat and he'll be fine.
Are you playing against skaven? Sucks for you. Your slann is a big, expensive bullseye for their cannons and you don't get a lookout anymore.
A lot of people make general lists, and it really isn't smart to have one of your most expensive units (and your general, and your caster) off on his own with no ability to defend himself. So for a lot of people, ethereal is out for that reason. If you play against any of the armies with magic shooting or flying characters with magic weapons, you just paid a lot to make your slann easier to kill.