muttly13: Space Marine is the closest one you listed to what you describe as your taste in games. Followed by specifically Dawn of War 3. DoW 1 is a pure RTS and DoW 2 is smaller scale RTS, squad level.
Personally, if you like FPS types or real time, WH40k May not be the best starting place. Many of the real time games havent been well received. The best of the license usually are turn based (both my personal opinion and general review consensus, though I am sure others feel differently). They have just released ChaosBane which is a Warhammer Fantasy license ARPG (Diablo 3 clone from what I read). That might be a bit closer to what you are looking for. Though initial reviews on that have been mixed as well, no idea why, havent looked into it myself.
EDIT: Sorry, specific to your question... Based on what you like... No, I wouldnt start with Mechanicus. Game play is exactly what it says, squad level turn based. Which didnt seem like your cup of tea. And the story/lore assume you know a lot about the universe already. There is zero introduction story-wise. Not that its a horrible thing, just that you will have no idea why a bunch of freaky cyborgs are exploring a tomb of terminators and they take no effort to explain it other than a few lines of intro text.
I have a bit over 11 hours in Mechanicus right now and at around 40% progress of the awakening and I love this game. I never thought turn based games could ever be this fun, but it is. It's also interesting how repetitive game actually is if you think about it, but since every scenario requires so different approach it just doesn't feel like it. Which is pretty neat. I now have 4x Tech-Priests already and Sikharii Vanguards are so badass with long range and ability to use weapon 2x. Have also slayed the tutorial boss, god damn necros cockroach.
Maybe I don't know the story on the grand scheme, but I've learned a lot about Necros and how hard we want to purge them with fire :)
Colloquilisms of Metalica, Chapter 52: "Enough fire in the right place can solve any problem."
Hehe :)