Cone wrenches are an expendable item. They will tend to wear out over time if you use them a lot. That's because they are THIN and sometimes cone locknuts are really overtightened by ham-handed mechanics and assembly-line workers at the factories. This nut does NOT need to be that tight! Sometimes getting these nuts off will really pain you as you watch your tool getting rounded off but you have no choice here. Often you can use a regular wrench or a good 6-point deepwell socket on the locknut if the wheel is not in the frame. The inner cone flats will be captive inside the locknut so the cone wrench will fit tighter and not want to twist like the locknut wrench might if you don't hold it perfectly straight on the locknut without anything keeping it straight.
Like Noglider said it is harder to damage the cone wrench flats but sometimes locknuts are softer. The cone is hardened to keep the bearings from eating it.
The Park DCW-series (DCW stands for "Double-Sided Cone Wrench -by the way!) are one of the best cone wrenches for the price/value I've ever owned. Stay away from the Avenir 4-sided wrenches as they are nearly single-use disposable. Park benchtop professional cone wrenches are really nice but you'll probably need to buy 2 of each one and they are much more expensive. Like I said above you can probably get away with just owning 3 of the 4-wrench DCW set but if you have all 4 you pretty much have all the possibilities covered.