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Good report, though I will say Nino will be more in line when you get more terrain on the board. Malifaux expects 1/3 to 1/2 the board covered in terrain, which is way more than any other game I've played. Now this doesnt necessarily mean buildings, you can have height 0 terrain like water features, rough ground, etc . But the less terrain, the more overpowered shooting models become. In general, stat bricks like the guild or 10 thunders models are also going to be harder to beat your first few games, where the raw power of massive stats can easily win out versus tricks you don't yet know how to use.

Here's a good forum post on the subject.
http://wyrd-games.net/community/topic/100508-malifaux-terrain/

in terms of Neverborn shooters, you have cant really match Nino in faction currently. You can hire Hans as a merc though. Angel Eyes from the upcoming starter set looks to add some oopmh. Tuco and Illuminated have decent ranged attacks (and Illuminated are flat out beasts in general). However there are other options, such as waldgeists which throw down terrain on demand (in addition to the more terrain you'll be sporting), or Lilitu or a Beckoner could have dragged him off the building with Lure (and hurt him in the process). Also, headshot only works if the attack deals damage. A master/henchman can soulstone to avoid damage, which is preferable to discarding them for the headshot anyways.

Nicely painted crew by the way! Pandora in particular is super tiny, so I'm always impressed by any detail on her lol.

Not sure if you have seen them, but the Pegasus Gotching City buildings fit the feel of the game well and are pretty inexpensive.