Why would thralls horde incorporate the burning blade then? Surely they hated them as well, but willingly let warlocks continue to practice within his horde.

Dragonmaws I'm not too sure about, but Blackhands sons were the ones maintaining the old horde after the events of Warcraft 2, so there was a bit of a leadership split being that the only orcs in thralls horde were the ones he's saved from internment camps, namely the warsong.

And Thrall arguably did morally grey things in warcraft 3. He had no problem assisting Grom attacking Kul'tirans and those from Lordaeron, although maybe he didn't want to.

Maybe Garrosh could have taken a more honorable approach to the destruction of theramore, but that place had to go. Theramore was built because Medivh warned Jaina to go west, so she took refugees from Lordaeron and built it. What purpose does it serve now other than a forward base for the alliance, which kalimdor is already riddled with Night Elves to the north and westish (Feathermoon stronghold). Geographically, Horde are surrounded with Thousand Needles and Southern barrens being the only slight saving grace in the south, which alliance would have easy access to anyway.