.357 has a fairly high sectional density, and a lot of power, it tends towards over-penetration.
125's higher velocity (greater bullet deformation, more reliable HP expansion) and lower sectional density, will transmit it's energy into the target more easily, which creates a more drastic wound (temporary, permanent, or otherwise). 158's are more likely to over-penetrate and thus waste kinetic energy.
Bullet design is also at issue here though. A 158 which has exceptionally well tuned controlled expansion properties, could perform very very well. It's just that in a caliber which has very dramatic penetration to begin with, the longer slower bullets have more of an uphill battle to fully utilize their energy in targets of limited thickness (zombies obviously).
In simplest terms, 125's are more likely to stay in the 12"-18" gelatin penetration range, and 158's are more likely to exceed 18" (wasting energy). in general, anyway.
Any deforming .357 round will do pretty horrendous damage though.