A narrower storefront range than Shopee
Lazada currently runs six Southeast Asian storefronts: Singapore, Malaysia, Thailand, Vietnam, the Philippines and Indonesia. Shopee additionally operates Taiwan and Brazil. If your target market is Taiwan or South America, Lazada has no matching storefront.
The practical effect on setup is that Lazada's country range is more concentrated — all between UTC+7 and UTC+8 — which makes timezone consistency comparatively easy to achieve.