At the moment, because mounts gain XP from riding them, and thralls only gain XP from combat it’s much (much) easier to level a mount than a thrall.
Unfortunately, I think that’s a little backwards. Other than repeated attempts to get “The Perfect Horse”, most players will need one (perhaps two) horses, but will likely want many many thralls to help defend their base against the Purge.
A horse is useful for its primary task (riding from here to there looking awesome and being faster) right away, but combatant thralls are… Well, let’s just say a level 1 combatant thrall/pet isn’t going to help you much if the Nordhiemers come calling. They need to be leveled up. Substantially.
But therein lies the rub. Doing so for a dozen (or more) thralls will bring down the purge on you before they’re ready.
I suggest that thralls also be given some “following” XP, or that you increase the XP awards for combat, or lower the leveling amounts, or provide some way to get a squad of decent defenders for your base before you summon down a purge you’re not yet ready for.