for the ingame perspective:
i'm a fully endgame player. I've beaten Camelot in its entirety, I beat all of the Nero 2016 challenge quests (the last one without command seals), and i've played every single event since the game was launched. Gilgamesh, Cu Alter, and Minamoto no Yorimitsu have no damage issues whatsoever, unless you've matched the former against Lancers. Gilgamesh has Divinity, a high Attack base, and Charisma A+ to boost his offenses even further; his post-interlude NP easily surpasses the damage of basically every other one in the game given the right conditions. Your experience is not evidence; mathematically these servants are superior. Nero is good in both forms, don't get me wrong; Bride is one of the better 5* Sabers due to her solid skillset and single-target Arts NP making her well-suited for NP-spamming arts teams. Regular Nero is in the top tier of 4*s due to her utterly broken revive skill, but she still suffers from AoE NPs generally not being as useful and a lowish attack stat that relies on Imperial Privilege proccing in order to compete.
Cu Alter, on the other hand, has the highest base attack stat in the game and never suffers from class matchup. His NP gain is excellent among Berserkers and his NP itself has an excellent effect attached to it; it will quickly shred almost anything that falls victim to it. His survivability is almost as good as his Lancer counterpart's; missing a hit on his PfA is partially compensated by his Frenzy of Spirits skill delivering an appreciable offensive cut to your opponents.
I can list off every Servant with a NP that hits harder than hers if you'd want, but that would be tedious in the extreme as it would be most of the 4* cast and basically all of the 5* cast barring outliers like Amakusa Shirou and his wet paper towel of a NP.
Lorewise...
Her arena is pretty stellar, yes. But so are a lot of Noble Phantasms. There's nothing that gives Nero the ability to, say, automatically survive an Excalibur (in fact, even if Nero lived, the fact that her arena is built on top of reality means that it could probably be destroyed by an Anti-Fortress NP, if not even stronger Anti-Army NPs.) Nor would it eliminate a defense like God Hand. Once again, smashing around in Extra doesn't determine what the lore actually says; she's a relatively weak Servant with the potential to be powerful against certain opponents that can't deal with her skillset. Which. . .lots of Servants could. Like, she would probably lose out to every Servant in Apocrypha (yes, even Astolfo. Casa de Logistilla could potentially break her arena, and with his Hippogriff he could easily evade her attacks) not to mention the ridiculousness that is the stay night cast.
Additionally, no one mentioned character preferences. I didn't say Nero was a bad character or that Gilgamesh was likable. I like Cu Alter as a character but my real favorite is Siegfried. That doesn't mean Siegfried is automatically better than everyone; there are a lot of matchups that are questionable or unfavorable for him, and while he's powerful, he's certainly not unbeatable - though it's worth noting he stood up to Karna, one of the canonically strongest Servants, in a fair fight, and wasn't actually killed in battle.