Yes, the Primal Wurms hurt and they have more HP than most static defenses, but any damage dealt to them sticks because they only get standard Zerg regeneration (the very slow variety). Not to mention they cost supply, and if made too numerous they have a tendency to overkill.
The sustain is the big issue, though, because you can’t get an ally to fix them up (most Zagara or Kerrigan players won’t use their Queens for that even if you ask, and most players don’t often make Queens anyway). You could say the same thing about Spine and Spore Crawlers, but they don’t take up population space while Primal Wurms do.
As such, I think it’d be nice if the Primal Wurms could get faster health regen while out of combat. This wouldn’t make them overpowered as they’d still be vulnerable to getting bursted down by anti-armor units and still be somewhat ineffective against large enemy armies (especially due to their lower rate of fire), but would at least make them last longer in drawn out battles. Plus it would make microing them to Deep Tunnel away when damaged even more rewarding.