Mithril sabre of penetration is generally better, IMHO. Against very low PV monsters the axe is a bit stronger, but not enough to worry about.
My understanding is that weapons of penetration ignore enemy PV when you do damage, whereas phase daggers add extra damage equal to enemy PV. This works out the same most of the time, but the extra damage from your phase dagger can have multipliers effecting it, most notably, the 50% extra damage you get from it being blessed (vs. daemons and undead). If this is correct, then, say you were fighting a monster with 100 PV... with a regular blessed dagger of penetration, you'd do (1d4)*1.50 = 1d6 damage that ignores PV. With a phase dagger, you'd do (1d4 + 100)*1.5 = 1d6 +150 damage, vs 100 PV, for a net gain of 50 damage.
Hoping to win with every class, doomed. Archer, Barbarian, Bard, Beastfighter, Druid, Elementalist, Farmer, Fighter, Monk, and ULE Priest down.