The reason that people say that is because WOT doesn't require a mature reader to enjoy it. Malazan is not for everyone. It requires effort to get through at times, and a child really should not be exposed to the themes that are explored until they have developed the maturity to keep their worldview in perspective. It is too heavy and maudlin for anyone under at least 15, but many a teenager would likely eat it up and find yet another excuse to be mad at the world.
As far as complexity, Robert Jordan doesn't actually go into that much detail beyond the Breaking of the World, the War of the Shadow, The War of the Hundred Years, and the Trolloc Wars, except for a few snippets here and there from Mat's memories of past lives. In Malazan, history is almost constantly tied to everything going on in the present, to such an extent that it can become overwhelming. Beyond that, enormous swaths of the books are dedicated to events that occurred not just thousands, but hundreds of thousands of years in the past (i.e. the prologue of Midnight Tides). What really makes Malazan more complex, though, and necessarily so, is the chronicling of histories of not just different lands, but separate planes of existence. This is what makes trying to keep up with the cause and effect of events so daunting at times, especially with the insanely huge cast. Yes, it is confusing, and this highlights one of the key differences that will determine whether or not someone will enjoy one series over the other. Some people, myself included, actually enjoy the feeling of being overwhelmed with information and lore, the sense of wonder and awe at being immersed in something so vast and intricate that one struggles to comprehend and can never fully understand. The Wheel of Time never made me feel that way.
It should be noted also, that Steven Erikson was educated in anthropology and archeology, and uses both to extensively detail how the physical history of the land itself (i.e. the Jaghut megaglaciers, the Holy Desert of Raraku) has influenced the cultures and histories of the human, Founding, and Invading races.
Oh it is definitely depressing, let me assure you. There is not a stitch of plot armor in Malazan, which is integral to the entire concept of the series. "Books of the Fallen" is a reference to something from the Napoleonic Wars, I can't remember exactly what, but it was something to do with an accounting or record of those who had fallen in battle. Without spoiling anything, that should give some idea of what will more than likely happen at some point to many of the characters you may or may not grow attached to. While not every end is tragic, each is poignant and meaningful to the plot.
Some parts of the story are acutely gut-wrenching, but the truly depressing parts are the ones that are hauntingly reflective of the not so distant past in our world. Genocide is commonplace and you witness up close the near-extermination of several populations that are chillingly similar to what happened to the Native Americans and make you stop and consider how truly horrific the Trail of Tears really was. That plotline is capped off with something so sickeningly wretched that it may put you off the rest of the series entirely. Nothing is particularly obscene or graphic, but the very fact that it happens and who it happens to is enough to make you weep with angst, considering how often it was done to people in our own history.
So no, do not read Malazan if you can not handle senseless, horrible, tragic things happening to good or innocent people. It isn't quite on the level of Game of Thrones, but it comes close at times. It is far grittier than The Black Company, yet not as intensely violent or rife with sexual assault as The Sword of Truth.
This does say a lot. WOT is easily digestible with a pleasant aftertaste. Malazan is hard to chew, makes you want to wretch at times, gives you indigestion and takes more than one swallow, yet it leaves you craving more and more, even long after you're stomach is settled. In WOT, you more or less know where the story is going enough to breeze through any difficult parts. In Malazan, everything is so unpredictable and all of your expectations are turned on their head that you don't know whether or not it will be worth it to stick with it to the end. Once you get to the end of Bonehunters you will know whether or not you want to continue, and that largely depends on why you enjoy reading epic fantasy in the first place. If you enjoy reading about heroes delivering justice and getting the world to make sense again, then you will probably not enjoy Malazan. There is very little justice delivered, and the world makes even less sense by the time the series ends, but your mind will be vigorously blown several times over.
This sounds almost exactly like what a friend of my said. For him, nostalgia played a large part in WOT being his favorite. I think the biggest key difference between the series overall is that WOT is heavily influenced and derivative of Tolkien, while Malazan is nothing at all like the Lord of the Rings. There is no monolithic quest to save the world, nor is there a chosen one, nor is there even a consciousness among most of the protagonists of any central dilemma or antagonist to be thwarted. Very much like the real world, things just happen as every character's actions are factored simultaneously into the eventual output and very few are truly cognizant of the big picture as it comes together, including the reader. In the WOT, similar to Lord of the Rings, there is a clearly defined division between good vs evil. In Malazan, it is more 'order vs chaos'. Indeed, Chaos is literally the antagonist threatening all of creation. You get a little of that in WOT with the 'lord of chaos' thing, but in Malazan, Chaos is an unconscious, non-sentient metaphysical force that not even the gods themselves can stand against, which is why it is so fascinating to see how it is dealt with.