You mentioned being a GW guy, which I think actually helps a lot. Reason being is this game while offering a much cheaper initial startup, really rewards a player who sticks to a single faction. For instance all the units hirable by Lady J, work wonderfully with Perdita/Hoffman/Sonnia. So going back to GW, it's similar to starting Space Marines then after a few games switching to Blood Angels (and back n' forth). ****this applies to everyone except outcasts****
Moreover, once you get your head around how the order that this game plays in, you're rewarded again by having a greater selection. How it works is thus:
1) each player picks faction
2) you flip for strategy (the main object of the game)
3) now you build your army.
So as you can see, "list building" is actually encouraged in this, with a fair system that makes it fun. (unlike GW).
Finally the two of the main types of tournaments typically use these systems, either fixed Master (you can't change your leader), or fixed faction (you're can't change your army). So while this is a 3rd reward for staying in faction, the real pleasure is in the options.
I've been a fan of GW for 22 years, and the surest thing they do is focus on one aspect and make that the focus of that edition. This translates into units being left behind, and in some cases useless. This is not how Malifaux works. Every unit has a speciality, a role, and value. ****don't look too closely at the Malifaux Child****
Which do you like better? Corrupt-Government/Zombie Slayer vs Demons/The Boogieman? I'd grab Lady J, she terrifies me!
(FYI I play Ressers)