I think the ethereal issue is a hold over from a prior edition. Currently, the only limitation (as per page 68) is that a non-ethereal character cannot join an ethereal unit but the reverse is freely allowed. A common vamp tactic to exploit this is to fill the front rank of a unit (usually zombies) with wraith heroes and then march straight into anything that doesn't have magical attacks. Also, HSoC does not make a slaan ethereal, it merely makes them immune to non-magical attacks.