Wheelock's is less about grammar and more about teaching the language, so its 40 chapters, though the chapters are structured around grammar rather than vocabulary, are arranged in an order that the author found logical for teaching, rather than an order logical for reference. For instance, the first and second declensions are taught in chapters 2 and 3, but the fourth and fifth aren't taught until chapters 20 and 22. It also leaves some concepts out -- nothing major that I know of -- and glosses over alternative word forms because it's aimed at first-year college students. It's a fine book in most respects, just not one primarily intended for reference.
A&G's "New Latin Grammar", as you can see here on Textkit, is more of a reference work, as everything is grouped together in appropriate sections. (One also wonders what's the point of calling something a "new [language] grammar" if even works over 100 years old can bear that description?)
If you want a detailed examination of grammar, I'd definitely pick New Latin Grammar over Wheelock. (I can't comment on the others since I don't know about them.) For example, the difference between "nisi" and "sī nōn" is explained in NLG but not Wheelock. In brief, the difference is:
Nisi Conōn adest, maereō. -- Unless Conōn is here, I mourn. [I always mourn except in the single case of Conōn's presence.]
Sī Conōn nōn adest, maereō. -- If Conōn is not here, I mourn. [I mourn in the single case of Conōn's absence, never mind other times I may or may not mourn.]
This is useful because I'd started to get the idea that "nisi" is just a way to say "sī nōn".
That's just one example; there's lots of little things in here that I haven't learned in Wheelock, and I've already done 34 chapters out of Wheelock's 40 (and am familiar with the ideas presented in the remaining six). Perhaps some of these things occur in Wheelock's reading material after the 40 chapters, but then of course it isn't useful for reference.