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Do either the Venerable Dreadnaught or regular Dreadnaught come with an autocannon?

no

You will need to pick them up from Forge World, or some people have been using the defence line quad mount as a stand in.

Its not hard as players have said to convert them.

I personally use the Autocannons from my Heavy Weapon Teams (I have so many spare from my mates who quitted IG to join the Grey Side...).