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I was looking at the allies available for Mechanicum Knights and I don't really know which units are good and which ones are traditionally not as good.

Any advice?

Also, why are Skitarii not a thing in HH? Did they wander away with Dominus Knights for the Heresy Game?

Skitarii are Titan defenders only and are part of the Titan Legions army list.

The Mechanicum relied on Automata or Thallax-like units with tech-tralls as chaff if needed.
In lore sure a lot of the 40k units existed or probably existed but the idea is that the Mechanicum uses technology that became banned after the Heresy due to the more stringent technological restrictions placed on the new Adeptus Mechanicus.