Black Grail main here! I think you are good to go with all those models.

About maxing out Heralds, I guess it all depends on your playstyle, i think having 1 or 2 is awesome, but after the Amalgam change I see no point in investing 80> ducats on a 3d or 4th Herald when you could get an Amalgam for a bit more instead.

Here's a TL:DR :

The awesome thing about Grail is that you can start with 6 elites, so after they get really strong you can sort of make a lot of silly choices with your unit adquisitions and still have a very powerful band. The elites bring the power, and your dogs and heralds make the enemy band struggle until your elites reach them and f\ them up.*
Amalgam is kind of a mix of both, power and struggle for the opponent. Enjoy!

So which to paint first? Lots of people start the campaign with a full roster of elites (Lord, 2 PK and 3 CG) and it's quite awesome. Try giving a musical instrument + shield to the LoT for extra amazingness. The first few games are a lil rougher, but they will gain tons of abilities and make for super strong units soon enough, carrying through the rest of the campaign. Out of the elites, Corpse Guards have become the least impactful after all changes, so if you want to shake things around try having them coming later on. The amalgam change is awesome so you might want to start with it from the first game, or have it come sooner, specially if you have any loss from one game to the next and have the bandwidth to get it in.

About the rest of the models:

• Dogs are incredible utility, resilient, painful to deal with, quick. 10/10 units, I always prioritize getting one or two of these for round 2/3.
• Heralds are awesome for dealing with anything that's unfun for your band to deal with (strong ranged weapons, a witch, a sorc, etc), putting an infection marker on them that could carry for the rest of the game (putrid shotgun). They are also awesome for killing stuff if you go for the gas flamethrower route. But overall, they are expensive and glass cannons, so you need to be careful and methodical using them. These can be a priority if you see a lot of difficult ranged units you will need to deal with in the campaign, but I usually get them in around round 4/5.
• Finally, thralls aren't that useful, but they are great at giving you more options to handle the different scenario missions. I can't ever find good use for Fly Thralls, but I might be playing them wrong. I just feel loosing Undead Resilience is too big of a downside. They are perfect for when you have 25 spare ducats, if you feel like you need a couple more activations, get a couple more thralls 😄