I'm all for a set up where you can make your own master (or at least henchman), since that's something I liked with 40k as well, making up my own commander and all.
large army sized games, aside from some of the crews that can end up with alot of models on the table (gremlins, Nicodem), I kind of like it as a small skirmish sized game.
(currently trying to talk friends into trying the deathwatch ruleset online for 40k skirmish, games go alot more smoothly without 100's of mini's to move)
but I'd be all for some sort of expansion for making your own master/henchman, multipart kits to really make them yours, and alternative sculpts.
I'm not sure how a world campaign would work, but I've seen large campaigns for Mordheim, so it's possible, even if you don't do a map of the world so much as of the city, the city itself sounds like a large enough place
id like to see some sort of vehicle or mount rules sometime too