Yes, they are quite annoying. Don't much like being shot though.
They were both unlucky and lucky. First turn for some reason their owner rammed a Wave Serpent into a Whirlwind thinking it an easy kill. Cue one immobilised artillery piece and a flaming fireball spilling red haired banshees onto the ground later...
His turn he sends an assault marine squad and a sanguinary priest at them, shoots, does nothing, then charges. I kill them all before he can strike (I think he'll have learned from this). My turn next, move, fleet, assault a tactical squad, kill all but 1 who somehow survives. And that's where it ended for the Banshees. They needed to kill em all to consolidate backwards. Why? Death Company was staring right at them and was just in charge range. As they were stuck in combat, no initiative 10 or counter attack, killed 3 Death Company with the Exarch before the Banshees were annihilated by them, a captain and a ...whatever those guys with Crozius are.
Striking Scorpions got all his ire shooting wise due to the 40minute game we played where 6 of them killed most of his stuff. This left an Exarch with a powerclaw not doing much. He did kill a tactical squad by himself before being shot though, so it's all good.
Pathfinders did nothing. Fled. Rallied. Got shot dead by a rhino (really).