The currently available light armor sets are considerably more useful than their heavy armor counterparts available in the same biome. Damage resistances are very useful when put to use in correct situations, and the skill bonuses can be very helpful as well. Heavy armor is just armor; it's supposed to be reliable.

As for whether you find the metal processing or frost cave exploration more satisfying activity, that's a matter of opinion. I really appreciated the break in monotony mining for iron, iron and... some more iron, but I must say I didn't enjoy the material drain of upgrading the Fenris set either, especially since I had already explored the nearby larger mountain regions on my world before the update which introduced frost caves.

Fenris set remains viable even in mistlands, thanks to its mobility boost. Wolf armor not so much. Equipping root harnesk, light armor from the previous biome swamp, is probably a better bet in mistlands and plains than the wolf coat.