Have you bought your Warhammer games years ago from Stardock / Impulse ?
I was able to activate these on Steam :
Warhammer 40,000: Dawn of War - Game of the Year Edition
Warhammer 40000 Dawn of War: Soulstorm
I wasn't able to test these yet :
Warhammer 40,000: Dawn Of War® – Winter Assault
Warhammer 40000 Dawn of War: Dark Crusade
Not years ago. In 2011 I got the "Ultimate Collection" on hardcopy. I was able to add all games to my steam library except "Winter Assault" and "Dark Crusade" (these two are out even today)
I hope you didn't have any trouble with the Serial numbers, because I did. For "Soulstorm" and "Winter Assault" I found 12-digit codes inside the case, while the installer wanted 16-digit codes. I had to contact THQ then, but they gave me 2 new correct codes.
Should anyone have the same problem with the codes, contact Sega (help.sega.com or support.sega.co.uk) because THQ is no longer able to offer support for Relic games.