Let's discuss the rules for these guys really quickly and simply: these MUAs can be taken for any Mercenary unit that your particular faction is allowed to take. While joined by the faction MUA, the unit counts as a Friendly Faction unit. This means that certain spells and feats will affect them that might not otherwise. So let's take a look quickly at each MUA, the abilities they offer to their unit (aside from making them friendly faction models), and some examples of feats/spells that can benefit them.
Jonas Murdoch is a trencher captain and grants trencher abilities to the unit to which he is attached, and is also tough. First, he grants the Assault (Order) to the unit he is with. This means that he will be best with units that have solid melee and ranged options. Lastly, he offers a mini-feat that allows the unit to essentially Dig In - granting them cover, protection from blasts, and they won't block LOS. This means that you'll want him attached to a unit that might be higher-priority that will need one turn of added protection against ranged/magic attacks, or that has a low ARM and could be vulnerable to blast damage.
Of the MUAs, I think Jonas sees the most play as the advantages for using him are fairly obvious. The most obvious unit for Jonas to attach to is the the Nyss Hunters, as they would love to be immune to blast damage and have solid ranged and melee attacks. Also, seeing as Cygnar lacks any heavy infantry (or AOEs, for that matter), Jonas can also do wonders when attached to the Ogrun Assault Corps. While they generally don't need to worry about blast damage themselves, gaining cover is a boon for their DEF 12, and being able to assault with cannons can make them pretty solid choice, especially since they also have combined melee attacks for higher-ARM targets. Beyond that, however, Jonas can be useful with a slew of Mercenary units that Cygnar might like, including Sea Dogs, which can become quite powerful with their usual solo support in addition to faction benefits!
Valachev is similar to Murdoch in that he is a character attachment, meaning one must be careful when it comes time to make a Steamroller list. Valachev does offer the magical prowess of being a Koldun Lord the unit to which is is attached. He has the following spells to offer (at MA [7]): Disbinding (remove upkeeps), Frostbite (SP8, POW12, cold), Zephyr (immediately advance 3", no free-strikes). Each of his spells are useful, but seeing as Khador already has more reliable sprays with the Winter Guard Death Star, you will probably most often be using Valachev's spell Zephyr - which is an amazing spell that Circle players know and love with their Woldstalkers.
Like I said, Zephyr is the spell that you'll want to take advantage of with your Mercenary unit. While being a friendly faction unit is great enough as it is, having any kind of immediate additional movement without suffering a free-strike is pretty awesome and can be used in a couple of ways. First, you can use it to free yourself from being engaged, if you're a ranged unit and want to shoot them in their faces. Secondly, you can use it to get some extra movement before shooting an opponent, if your normal movement wouldn't be enough. Third, you can use it to hit-and-run like Bushwhack, but it's better because you can make a full advance, shoot, and then Zephyr back 3". Lastly, you can use it to position your models slightly while still benefiting from the aiming bonus (since it's an immediate advance, they can still sacrifice their normal movement to aim!). This has so many uses, but generally you'll want a unit that can shoot to take the most advantage of this ability. Units that come to mind are of course are Steelhead Riflemen or the ubiquitous Nyss Hunters. Also consider, however, the Hammerfall Shield Gun Corps., as they would love the extra movement granted by Zephyr, are fairly durable, and can also marshall a rhulic warjack for some added fun!
What's really interesting about the Attendant Priest compared to the other MUAs is that it is FA: 2 instead of FA: C. In the new SR 2012 environment, this means that the Attendant Priest can be included in every list if you wanted, and that's a pretty significant advantage when you think about it. Besides that, the Attendant Priest allows the unit it's attached to to benefit from Prayers each turn during it's activation, and has three to choose from: Empower (magic weapons), March (pathfinder), and Warding (sacred ward).
While these prayers are hardly game breaking, they are almost universally useful against any opponent. What is more important about the Attendant Priest, however, is making a mercenary unit become a friendly faction unit because many spells, feats, and abilities rely on your units being friendly faction models. Consequently, there are few menoth units found in lists, but the Attendant Priest can be great for taking some units and making them more of a toolbox, and often at a discount or because they offer something you might lack. Steelhead Halberdiers are a great example that Menoth would love for 8 points (with their MUA), as they could certainly benefit from each of the Prayers available to them, and offer a lot of bodies for 'reclaiming' or even just as a relatively cheap speedbump. Also, consider Sam MacHorne and the Devil Dogs, as they can also benefit from any of the Prayers and offer the Protectorate access to a 'Jack Marshall and Mercenary warjacks like the Mule or Nomad.
In part 2 we'll look at how each warcaster changes how they'll support Mercenary units if they count as friendly faction models.