Heroes are usually the iconic image of an avatar or story, nothing says you can't throw in a unit that looks unique and gives a slight advantage in one factor or another. It's only when heroes can devistate armies soly by showing up that I take a bit of a turn away from the idea. I think (if anyone ever played it) Battle For Middle Earth One, did this well, BFME2 was fun as well but alas they killed it with to much hero power and the emphases there in.
I think in something like this, you could take a unit , make him/her look unique , allow bonuses and to build up on those to represent ones self in the field. If you die, you really "don't die" in the means of being in the army (all great heroes know how to flee! ) and they could just end up back at your home base. The penalty ofcourse is being out of service, maybe factor in map movement plus a week of turns to counter your down heal time factor?
Eh I know they are not in, but anything is again possible in the future, always throw those good ideas out there I say. Never know who is watching