-Jaina: The best of the bunch. Also the one that some people thought Blizzard was retconning Frozen Throne with, given the more favourable view it presents of Daelin Proudmoore in the more negative one of the orcs. Those people are...weird, to me, because it's pretty obvious (to me) that it's a Kul'Tiran sea shanty that's recounting their version of events. But that aside, everything about this short is top notch. The animation, the music, the theme, the atmosphere, etc. Course it does lead to Jaina having an OTT moment in the Siege of Lordaeron (flying ships! Magic cannons!), but in of itself, the shot is good.
-Sylvanas: The weakest of the three, but not by its own fault...mostly. Sylvanas has yet another flashback as to how Arthas killed her, and it's yet another take on events. Not utterly irreconcilable with Warcraft III, but the deviation is noticeable. But that aside, while the short is fine in of itself, it can't escape that Sylvanas is basically Garrosh 2.0 at this point, just replace Theramore with Teldrassil. And while there's been suggestions that it isn't 1:1, but so far these are just suggestions. And while this is keeping in character with Sylvanas at this point, the short can't escape the fact that it's covering old ground.
-Azshara: The middle child, even though Azshra is older than Jaina and Sylvanas combined. Anyway, this is pretty good. It has the unenviable task of having an Old God converse with Azshara directly, but also try and make it come off as all-powerful and unknowable. Like, I haven't read anything by Lovecraft, but I doubt C'thulu ever talked to a mortal directly. Still, Aszhsara isn't mortal, and it's done quite well. There's a kind of twisted irony that mere minutes/hours are being screwed over by Sargeras, she's making a pact with another devil, though is still assertive. So, it doesn't hit the same emotional highs as Jaina's short, but it's still solid all around.
So, yeah. All in all, good job. Guess we'll have to wait for the next expansion for these kinds of shorts, but they've all been pretty good so far. Wouldn't mind Blizzard's other IPs getting the same treatment (aside from Overwatch, which already does, and has more of a need for them due to the lack of in-game narrative), but I guess one has to take what they can get.