Certainly Margrave is the better of the two cards, but if Council Room and Margrave are both available, consider building the engine out of a mix rather than going pure Margrave. Yes, getting hit by 3 Margraves is a meaner attack than getting hit by 2 Council Rooms and then a Margrave (because you have less information when you have to choose what to discard) but this marginal difference in attack power often doesn't outwiegh the extra cards from the Council Rooms, especially in terms of reliability.
I actually would prefer hitting them with council room-margrave than margrave-margrave, because after the first margrave, subsequent ones tend to then improve the initial three-card hand anyway. The effect is actually pretty much the same. With margrave-margrave, they discard from six to three, then draw one, which is either junk and discarded, or improves the hand. With Council Room-Margrave, and the same cards, the junk card they might have drawn still gets discarded, and the good card they might have drawn still gets kept in favor of another card, which would still be discarded in the original scenario.
A) Margrave-Margrave is 6 cards down to 3, then draw 1 and discard 1.
B) Council Room-Margrave is 7 cards down to 3.
In both cases, the opponent is discarding 4 cards total out of 7 (their starting hand and the top 2 cards of their deck). But in the second case, they have more total information, making it a slightly (but, dare I say it, strictly?) weaker attack overall.
Here's an easy example of when it makes a big difference:
Your opponent plays Margrave. You have a single Treasure Map in hand. Do you discard it? It's a useless card unless you pair it with another Treasure Map, which you cannot guarantee with the rest of your hand. So you discard it... and then the second Margrave draws Treasure Map.
But suppose your opponent plays Council Room first instead. With the Margrave that follows, you draw your seventh card and see that you have a pair of Treasure Maps after all. You can now keep those together!
A subtler but more common (and actually relevant) case is knowing whether you should keep a dead terminal before you draw a village, or whether to keep a village when you maybe don't need it. CR-Margrave gives the victim a fuller picture so they can choose their discard better.
I think that this is a relevant consideration, but the extra draw from CR still makes it worthwhile more often.