Some huge rules clarifications were given today by Jes Bickham on the GW Digital Facebook site that apparently were left out of the White Dwarf release. So No, these are not Lords of War, are scoring units, and if played as part of your primary detachment, pick one to be your warlord.
via Jes Bickham (who is the editor of White Dwarf) on GW Digital Facebook
Some clarification on the rules we presented in White Dwarf today for some folks here: the Imperial Knights don't occupy any force organisation slots, they are not Lords of War, they are an army unto themselves. Something we forgot to say is that all Imperial Knights are scoring units, and if you're playing 3-6 as a primary detachment, pick one as your Warlord.