Does "every villain is the hero of his own story" apply to fantasy in general or Warhammer specifically?
That can apply for warhammer for sure (infact i do like those type villains more), but a villain doesn't have to be that at all. Honestly, in my opinion, memorable villains need to be very motivated in their causes whether they be heroic or not. Let's contrast and compare orgres and dark elves as an example.
Ogres are purely motivated by a nihilistic shtick that only the strong should have everything their environments provide them with, and the weak should have absolutely nothing/ serve as food for the strong. This belief intensified/originated (not actually sure) when a huge mahrlect off comet crashed down onto their homelands, killing 2/3rds of their population right away, and destroying their natural habitat which left them with no food and a barren waste land to live off of. This immediately caused the Ogres to come down into complete cannibalistic anarchy right away, and formed the basis of their nihilistic psyche.
Dark elves have pretty much the same villainous psyche (very nihilistic, only the strong should thrive, etc), BUT, they're not as motivated, or rather, there's not as much motivation for such nihilistic beliefs. There's no reason for them to be pirating, enslaving, etc, except for the fact that they perceive themselves as superior to everything else and fit to rule the world.
In my opinion, this is hardly enough to justify their psyche.
So yeah, i think this is a problem also for a lot of the other warhammer factions as well too (skaven, orcs, etc). There needs to be more personal motivations for their causes, but i'm not an expert on warhammer lore, so idk