Honestly, Ethereal has low damage in comparison to Ravenous and Piercing and on top of that people can grab you while you're in mid "Teleport". Also, Ethereal has nothing that sets it aside from Piercing and Ravenous because you can stop zoning alone with EX telekick for 30%+ damage. So "Ethereal" Mileena is in all variations with the use of Meter.
Yeah. Piercing has to be the fastest and Ravenous has to be the strongest. Ethereal should have more to it in order for it to be competent in gameplay. The same I say about Kitana's Mournful Variation.
What is the difference between her "Fade" and "Vanish" (Enhanced Fade)? The same doubt with her other unique movements of the variation (Fade Towards and Fade Away), i can not detect differences between normal movements and enhanceds (Vanish Towards and Vanish Away), not armor or recovery advantage, the only difference, besides the aesthetics, is the expense of a bar.
Piercing is undoubtedly her best variation, although I main Ravenous simply because it's more stylish. Ethereal is decent, but there really is no point in using this variation when you have the ability to choose one of her other two.