Welcome to Warmachine mate
Right, first of all, if you're just starting off, I generally wouldn't suggest starting with a theme force - not that'd I discourage you if that's what you really want, but a more general list for starters can be easier to get into the game, and then specialize by building up a theme list after you know the game a bit better.
Thyra's theme force in particular is fun, but extremely prone to bad match-ups. Generally, with so many Daughters running around you can go for Assassinations, but often that won't be possible, or your opponent will have some way around your high-
def, and then your list kinda falls apart. That's not to say it's bad, and against some opponents it'll be quite strong, but it's a skew list, and that means your opponent might have the answers to it.
Now, for your jacks, double vigilant, they're probably not the best idea in this list. I'm going to bet you're thinking of using them to stop blasts damage on your daughters? Well... it's a little tricker than that. Generally, the speed of your daughters is a huge asset, and slowing them down to hang around a Vigilant is a bad idea. It's also kinda difficult in terms of mechanics each turn, as the daughters get in the way of the vigilant, but if they move first, it's hard to move the vigilant to be in contact with more than a couple of them. They're also only POW 11, and those pillow fists can't threaten armored targets any more than your daughters can.
Anyway, I'd much sooner recommend a Reckoner for this list, but only because you don't quite have the points to fit in Thyra's personal jack Blood of Martyrs. The reckoner adds a bit of hard hitting damage and a decent ranged attack for when that's important, and actually has quite a decent threat range on feat turn. He can also run near anyone and give them Concealment, which can be good for Nicia or Thyra, though don't cluster your daughters too close in case of blast damage.
Hope that helps a little bit anyway, the Thyra list looks like a lot of fun generally, and it's one I've always wanted to try at some point