I don't have experience embedding Powershell, but I'm going to assume it's a lot like IronPython in that it's ultimately deeply connected to the CLR.
So:
PowerShell / IronPython
I would group these two together and say the big positive is direct ability to communicate via the CLR.
The negatives for these may be memory use and possibly runtime performance. Although since it will be running in the CLR already anyway, it shouldn't be much of a difference.
Lua / Javascript
Similar in that both would be embedded using some sort of P/Invoke API ultimately. (Or COM Interop)
Pro: Fast, less memory usage.
Con: P/Invoke, unmanaged code, etc.
Between Lua and Javascript:
Lua may be even faster and less of a memory hog than Javascript, but Javascript has more familiar OOP and FP idioms baked into the language.