HeatShield's Web Application Firewall (WAF) doesn't have to be used as an alternative to WordFence. Instead, depending on your security needs, the two WordPress security plugins can be used together.
HeatShield is the only WordPress plugin to offer the industry-standard ModSecurity WAF library along with the widely trusted OWASP Core Rule Set.
HeatShield is able to include ModSecurity due to HeatShield's advanced architecture. It is not possible for traditional PHP plugins such as WordFence to use ModSecurity.
WordPress login brute force protection is also included in HeatShield so attackers cannot try large numbers of usernames and passwords to guess your credentials and gain control of WordPress.
WordFence was built to work within the speed and flexibility limitations of traditional PHP plugins. As a result, they had to build their own Web Application Firewall system rather than use the industry standard ModSecurity. Due to their work, WordFence was able to bring a firewall to WordPress sites that previously had no other option for a firewall.
WordFence also adds non-firewall features to WordPress such as two-factor authentication. With two-factor authentication, you can require WordPress accounts to enter a code from their Google Authenticator app before being able to log into WordPress.
You don't have to choose between either HeatShield or WordFence. If you've been using WordFence and would like to add an industry-standard firewall to complement WordFence's firewall, you can use the two plugins together. They will not conflict with each other.
Note that if you use the two plugins together, once one plugin blocks a request, that request will not be seen by the other plugin. Therefore, any statistics provided by the plugins will be inaccurate when used together.