MKV is the format that hoards: video, a dozen audio tracks and every subtitle, all in one box. It was born in 2002, the open-source Matroska project, and its real weak spot is playing on TVs, iPhones and editors that never learned to open the box.
WMV is a time capsule from the Windows XP years: tidy little files with dated manners. Windows Media Video, usually inside an ASF container; once the backbone of DRM movie rentals. That makes it the right destination when what you need is old Windows archives and PowerPoint decks that still insist on it.