Any Rogue attacker is problematic. I would never want any attacker to pick rogue, even if they do plan to utilize thievery heavily. Having a personality that's only situationally useful and reliant on chance is worse than personalities that are good most of the time, or really good in particular situations. Rogue means nothing once the a/t gets chained, and chaining a/t is incredibly easy and usually worth the effort, especially if they forget guardstations like many a/t do.
That said, play it like any heavy attacker, and forget about thievery without a lot of science and willingly gimping your army and building choices to maximize the thief option. About the only thing that can be said for Undead Rogue is that you will have an easy time finding space for thief dens, but you will still have to sacrifice army to get a useful tpa. Better to go into war with as many elites as you can to make up for the lack of manpower, and build lots of guardstations to prevent the inevitable when your undead does get chained.