If you are fighting another thunderhammer/shield army, then yeah, but that is true for the TH/SS army too.
Against any other army, Knights are ace. WS5, full I4 with their S5, fearless, T5, hammer of wrath, and the ability to annihilate a unit in a single round using their S10 AP2 A3 on the charge manuaver. They are better than any other armies TH/SH unit. If you think you will face too many TH/SS, you can just take normal deathwing with the same set up.
YEah, but it is easy to get a penetrating hit with assault cannons. Cyclones are just krak missles. I field piles of those if I really need them, I don't need to waste my heavy terminator on it. I can't spam assault cannons in any other place.