Part of the trick with E:A is having a 'balanced' force designed for your strategy (sufficient activations, primary tasks for each etc), and the other part of the trick is tactics and positioning etc. Assuming the Leman Russ had survived, what were they intended to do, what were the artillery and sentinels there for?
Here it seems that you have concentrated almost entirely on mechanised forces (tanks, artillery and sentinels and even air-power) with only one supporting infantry. Effectively this means that you have a lot of "spearhead" forces that can strike at distant positions, but virtually nothing that can follow up, occupy and defend these areas. I agree that at least one more infantry company should be included to work with the Regimental HQ. These should try to stay in supporting distance of each other. To do this I would consider splitting up the super-heavy tank company.
Given that the IG are most likely to lose the strategy role, you need to adopt an initial set-up that can defend from the main deep-strike threats; Air-assault, Teleporting and Artillery. The tank forces selected are less able to deal with close assault (as you found out
); did you try to use a screen of sentinels to hold teleporting termies at bay? They are a cheap, disposable formation that can stop the termies from close assaults (unless they are dealt with first), allowing you more time to react to the threats. You might even consider having several "battle groups" containing several formations each surrounded by a sentinel or Rough Rider screen, with particular battlefield roles.