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As you'll likely discover if you play against them, vampire pirates opening melee units suck badly in melee. They don't deliver kills, and they don't have the numbers or morale to bog down enemy units the way other zombies or skeletons do. Against any halfway competent melee opponent - or worse, large units - they'll swiftly lose morale and start suiciding on top of your opponent cutting them to ribbons.
Which is fine - because their only purpose is to be sacrificial units. The truly dangerous killers in your army are your ranged units. Particularly your rifle units and your artillery. In the early game, you're basically fighting using Napoleonic tactics. Rifle lines backed up with mortars and cannons, with sacrificial grunts holding spears to keep the enemy at bay and in positions where your rifles can steadily murder anything, no matter how well-armoured it might be. Explosive units are useful at a pinch as an emergency to deal with anything that breaks through your lines before it can reach your gunners. Hulks are a cheap way to tie down enemy large units or large unit-size opponents without disrupting your firing lines.
You can then start beefing up the rifles with deck gunners (anything which deals with the enemy while they're at long range is handy) or mobile gunnery units like the Deck Dropper bombers and handguns. If you don't mind some micro, Mourghuls and Terrorgheists can be effective mobile shock units to smash into the sides or rear of otherwise solid melee units in the hope of breaking them.
Over time, you'll have access to a more solid melee line. The Depth Guard and Syreens still objectively suck compared to true melee elites of other factions, but can at least hold the line more effectively than your Tier 1s. Arguably even better is to use the prometheans (who provide less obstruction to your firing lines, and can be part of them at melee range).
You can also bring your own nightmarish large units into play - the Colossus is a horror show at mid-range and the Leviathan is an excellent large melee monster for tying up the enemy while your gun ranks slowly shred them. The Queen Bess cannon is a delightfully nasty piece of kit in the open field, and incredibly powerful in sieges.
All of the above still suffer from the Vampire Coast's abysmal morale and staying power, which is where tactical use of your Gunnery Wights (replenish ammo, increase firing rate) and Vampire Captains comes into play - either using magic to crack core pieces of the enemy formation, or to hold together your own line long enough for your rifles to do their work. Morale and defence should also be early priorities for your leaders to focus on as a result.
Where I'd say you made your life difficult strategically was crossing the ocean too soon. Khemri take a lot of killing and don't break easily, so are a pretty tough early game faction for you to handle where you're still building up. You're likely better off consolidating a position on the vampire coast, and pre-emptively blasting the Lizardmen out of the jungle before they decide to swarm you from multiple directions. If you use that time to boost up your core cities and core horde boosts on Harkon and any infamous lords you've picked up, you'll be in a much better position when the time comes to cross the ocean and face down more dangerous enemies.
Also, it's generally best to establish pirate coves somewhere out of the front lines of war where you don't plan to travel yourself for a while, and where you can easily retreat back to open waters if enemy agents take an interest in you. Southern Ulthuan, Northern Bretonnia, the Dark Elf islands - all are good candidates.
And yeah, don't kick yourself too badly for losing to Khemri. They handed me my arse on a plate the first time I took them on. Orcs, Beastmen and Chaos are also nasty for their ability to wear down your front line without breaking, or just tear it to pieces in record time. For those factions, I find you're better off forming a front line of monstrous units backed up with sacrificial Death Guard or Zombie Pirates to tie down their melee units, then do your best to flank the scrum with your riflemen and rain death on it with your artillery. Doesn't matter if killing their deadly melee units wipes out 50% of your own side - you've got Raise Dead for afterwards, they haven't. And with the exception of the Wood Elves, you should win most ranged vs ranged encounters by sheer volume of firepower and your ability to hit enemies with fear or terror.
And on that note, as with the Vampire Counts, if you can see a battle isn't likely to end your way, leave your melee sacrificials behind and get everyone else of any value out while you can. It takes a while for your units to lurch their way off the map, so you have to make the call sooner than most. But it's better to soften then enemy up, retreat and use raise dead to replenish your melee line than it is to be routed and your whole army completely annihilated.
Vampire Coast are a funny bunch to get used to playing at first, but I really enjoyed the Vampire Pirate campaign I did as Harkon.
Thank you so much for this in depth analysis!
I think my army was something like.
1 LL Count Noctilus
2 Gunnery Wights
4 Mortar
1 Queen Bess
4 Deck Gunners
2 Necrofex Colossi
2 Grenadiers
4 Handgunners
I used Noctilus unmounted just running around playing decoy and buying time, summoning deckhand mobs and making a pest of himself.
The occasional wind of death to spice things up, I don't really like Luthor Harkon though I will admit the lore of the deeps is strong.
In my campaign I just went straight to Ulthuan and then stopped once I killed all the high elves, bored.