I think it depends on the deck I'm trying to make, but I believe I would prefer Shadow Mist in most cases.
Shadow Mist
Pros:
Both of its effects say "If: You can", so it can't miss timing.
To search a HERO, it just needs to go to the grave, so you can send it by detaching an Xyz material, Foolish Burial, Mask Change, etc.
It can search Change cards, thus making it far more valuable than Stratos for Masked HERO decks.
It's a DARK monster, so you can easily search Mask Change with it and make Dark Law using the same card.
Cons:
Can only use each effect once per turn.
You have to wait on the HERO search if you summon it.
Has to go to the grave, so the HERO search effect is shut down by cards like Macro Cosmos, Dimensional Prison, and Retaliating "C".
Low ATK, so it can't do much on its own.
Stratos
Pros:
Effects are not limited to once per turn.
Gets HERO search immediately when summoned.
High ATK, so it can easily destroy most low-level cards.
Cons:
Both of its effects say "When: You can", so it can miss timing.
Can only use one effect when summoned.
Requires other HERO monsters on the field to destroy Spells/Traps.
There are probably some more pros and cons that I'm missing, but I think that about covers it. While there are probably some decks that I would prefer to play Stratos in, I feel like Shadow Mist is a little more versatile overall.
