You know what's the biggest drawback of playing the Auxilia? No Consul equivalent.

I swear to god, those guys are the most fun thing about Heresy, aside from perhaps the depth of unique legion rules and units (at least in 2.0). Like sure the Praetor will usually be your warlord and the toughest guy, but Consuls are people's favorites, there's so many options with them, so many flavors, you will always have a guy for the role you want and most people I know use a Consul for the YOUR GUY avatar on the table. I wish the Auxilia would get more HQ options, like a heavy weapon Captain/Marshal that helps his Tercio with rotor cannons and heavy flamers, crazy axe guy that buffs the axe Velataris, and some specialists like snipers or other roles.