The efficiency of the ventless ones and the lack of punching holes through the wall is what made them take over sales. 2 smaller units placed properly will give you more even heat than one big through the wall unit.
Put a 90 and a 18" length of pipe on the stack. That will break the velocity of the wind.I put in a vented one a few years ago but the East wind won't let the pilot light stay lit. I know I could get a better cap for it but I'm thinking of just going ventless anyways. It's only for backup heat anyways.