I compare them because they're two very cheerful characters who get shadows that seem to be nothing like them and spout edgy nihilism about the pointlessness of bonds, etc.

I still think Maya's shadow does it better because at this point nobody knows what a shadow even is. Heck, you might be inclined to think that's Maya at that point and that something really bad has happened to her, and it really works much better when you don't know what's going on at that moment. Even her initial scene when she just comes into the Kuzunoha agency and Tatsuya takes a step back is just chilling. With Teddie, though, when he shows up, you already know the drill - beat him up and Teddie gets a Persona. Tension - gone.