I couldn't disagree with Goldman more. On a horse the DM will have a better line of sight to cast spells with and can get where he needs to be much easier than if he were on foot. Also I think DM is a good choice for a wraith to act as a support, just remember his banner, I always end up forgetting it whenever I use him

That said, I'd drop the troll for more orcs, or at the very least put the shaman in the warband with the orcs so he can be of use if your army deploys all over the place

Maybe I'm missing it in my read-through of the rules, but why does it matter what warband a hero goes in the army list?

It matters if you want to deploy them together. You normally deploy each warband separately, so depending on the scenario deployment rules, you could end up with your Shaman and Troll in a different part of the board than your orcs.

I can't recall which scenario (away from book), but I once had Faramir roll a 1 to arrive 3 turns in a row. I didn't want to spend the Might to force the arrival (though I should have). Needless to say, if you find yourself in the same position, your Shaman becomes a big waste of points.

What do people think of Morgul Stalkers?

orgul Knights are great with the Dark Marshal, profitting not just from his banner, but also the -1 courage for opponents charging them [terror]). Expensive though, and not strictly necessary here.