What does using Thunder Wave on Azumarill accomplish? It's already slow, now you can't burn it, and you've still taken a Knock Off and lost your Lefties. The best you can say about this scenario is that it's a stalemate (which is still in the favor of the Azumarill user since now they probably know your set).Thunder Wave on the Knock Off, Recover until you don't take damage, and Giga Drain the next turn. Repeat until Azumarill dies.
Physical Thundy still loses to PDef Celebi so long as it doesn't have a Defiant boost, or U-turn.
And several bulky DD, or stall Zard X go without Fire STAB to beat Heatran more reliably with EQ. EQ is even slashed with Flare Blitz on the first set. And a paralysed DD Zard X is much easier to deal with, which is why I mentioned you can just paralyse it to essentially neuter it.
Celebi still checks Landorus without Sludge Wave or CM pretty well, so that's that.
I have never seen a DD Zard X without Flare Blitz, and relying on something to not run its best move to deal with it makes you a pretty shitty check. Stall Zard X doesn't really care about the T-Wave since it's not sweeping and will just Burn you (which will force you to switch out).
If you're Physically Defensive you take about 50% from a LO Knock Off from Thundy and LO HP Flying does over 50% without any SpA investment X_X
252 Atk Life Orb Thundurus Knock Off (97.5 BP) vs. 252 HP / 220+ Def Celebi: 187-221 (46.2 - 54.7%) -- 8.2% chance to 2HKO after Leftovers recovery
0 SpA Life Orb Thundurus Hidden Power Flying vs. 252 HP / 0 SpD Celebi: 205-244 (50.7 - 60.3%) -- 90.6% chance to 2HKO after Leftovers recovery
CM Lando will set up on you until it can muscle through since you're not going to be able to break it without investment, Nasty Plot, or crits.