I see both sides to this "discussion."
I started playing Malifaux because I really liked some of the models, and specifically the theme. The first thing I did when my friends all collectively decided to play this game was pick up a Seamus box set on look alone. I love the idea of a horde of zombie hookers. Its fantastic. I then approached the game like I did in all other mini games, I built a gang around a theme, the theme being "What would you find in a house of ill repute? Now make it undead."
I can tell you for free, that you wont find katana wielding warriors in house of ill repute. Nor autospy victims, animal frankenstein monsters, grave diggers, miners, vultures, Japanese serpent spirits, etc. (Never saw any of that stuff during that documentary on HBO...)
And I think thats the "problem" with Malifaux. The gangs are so thematic that a lot of people find it hard to reason why Johan would work with Seamus to slaughter an MSU gang. So you have very distinct themes within a faction.
Now don't get me wrong, I like the idea of adapting your list to the scenario and your schemes. It does add a certain element to the game. What I have done, to appease both parts of the game for me: the thematic and the tactical flexibility; was to start modeling proxies for different models that would improve my gang, but remain in theme. To such an end I proxy Jack Daw with Mistress Jacqueline, the BDSM Mistress of the House, who died during an erotic asphyxiation episode. Now I get to use Jack Daw, and stay within theme. And I get a modeling challenge. (I made her from Lilith from Anima Tactics. http://www.thewarstore.com/media/CIS/CISCS1035.jpg
I bent her legs so that the toes pointed closer together, lopped off that head and repinned it at a very unnatural angle supported by hobbywire twined with GS to make a rope which I attacted to the sword whip and made the sword whip look like rope. When I get home I will post a pick if I can remember.)
I think if this is the way to approach the game if you cant get past theme aspect (like I cant). Stick to a theme and then convert models to suit that them and what the model will be.
For instance, I have a Viktoria Secrets Gang. My Convict Gunslinger is a babe model from Privateer Press. (as I was searching for a pic of what I used for Mistress Jacqueline I found what I am going to proxy as a Freikorps librarian to fit my Damsels of Doom gang: http://www.thewarstore.com/media/CIS/FFGCS3006.jpg
Now off to find a sexy Von Schill. So you see, you can do both, Theme and Tactics.