Hi,
Welcome to the forum! I'm not a great player so my advice may be useless but let me try to comment your list, however
First of all : citadel guard with horse => I didn't even know that they could receive a horse... Sounds nasty
Faramir on horse with a lance is really powerfull, he's a great choice!
But having 12 cav models seems a bit too much : you'll encounter some difficulties to use all of them in an effective way.
Banner for cav sounds good on paper, but I don't know if it is useful during the game, due to the small range of effect and the cav base size (you generally won't be able to cover a large amount of Knights).
If I were you, I would replace some horses to enrole more foot models, to increase your numbers and break point
Denethor is fun to play. He's not an awesome hero (his lack of Might doesn't serve him well), but he is able to kill some soldiers. When I play him, I avoid enemy's heroes but instead put him in the middle of the fight, where he can slay a good amount of soldiers.
I remember the first time I played him : first turn, I won priority, then missed the Courage Test... Burnt every single Will point >.< A great moment (then he never became fool again in the game)^^
[sorry for the bad English]