I like the function of Dread Knight. He is a great secondary hero which complements Paladin. He may also complements Valkyrie and Horse Lord. Everything is quite right with him, his plunder ability also makes him attractive. I often take them if the Hero offer comes from a city near to my Hero stack and I am planning an early assault to my opponents.
The Heros are quite well done. I am thinking about them for a while and cannot find anyway to improve primary heros. Secondary heros might be a way to go. One suggestion might be " a later in the game defensive city heros ". A hero that gives a standard +5 fortification like Alchemist. He may level up in leadership in the city and/or warding in the city. He may keep the Valkyrie and Horse lord safe in the city.