[...] the wave theory was unable to explain things like the Photoelectric Effect and Compton Scattering [...]
This is true. As a result, we know that classical electrodynamics is only an approximation, which fails when quantum effects become important. In many, many areas of practical interest, classical electromagnetism is phenomenally accurate, so as long as we stick to those areas it is very useful.
[...] whereas the particle theory(by which I mean the existence of photons) couldn't explain interference and diffraction.
This is not accurate. Photons are not classical particles, so they do not obey our naive intuition about how particles behave. They are part of quantum electrodynamics, and in that framework they both interfere and diffract.
To the best of our knowledge, every experiment we've ever performed is consistent with quantum electrodynamics, so if you're looking for a theory of electromagnetism which explains all of our current observations, that would be the place to look. However, QED is phenomenally complicated compared to classical electrodynamics, so if possible we use the latter (perhaps adding some quantum "corrections" by hand if needed).
Well, aren't both the theories wrong then?
This is certainly possible. We know classical elecromagnetism is "wrong" insofar as it is known to be inconsistent with experiment. The same is not true of QED, but it's entirely possible that there are experiments we have not yet devised which will expose some fundamental flaw in QED as well. If and when such experiments are performed, we will have to re-evaluate our understanding of electromagnetism once again - an exciting prospect!
All models are wrong, but some are useful
– johnDanger Mar 08 '22 at 21:58