In my experience Lilith has the deepest bag of tricks amongst the NB Masters. She can play crew support, super solo, scheme heavy, killy, and switch gears mid game well too.
She can run pretty much any crew build well due to her own flexibility. The all nephilim list is uncommon outside of social games, and while I've seen the occasional mature nephilim, I've never seen a young on the table.
Pandora generally plays in more of a super solo role for me. Be warned that paralysis, activation order control, and PBAoE melting of multiple enemy models can and will bring out the salty tears in opponents!
Sorrows are good, for the obvious misery damage, but can also do useful scheme things with their teleport move. The thing with them is their fragility. I'd probably start with one, or maybe two, until you get a handle on the positioning and strategies needed to get the most out of them.
I find it easier to run strong theme lists with Pandora, while sometimes Lilith lists are not so coherent thematically.