Sigmar was a real Mary Sue, (or on Mallus, a real MAGDA WESSEN) is what I hear you saying.
Isn't Warhammer full of those types of characters?
Not really. Digression time!
Granted, "Mary Sue" and its lesser-known spear counterpart "Gary Stu", as terms, have been watered down a lot until a bunch of people (who are
wrong on the internet) use it to mean little more than
overpowered character I dislike. And I'm sure there's a lot of that in Warhammer.
But in the narrow sense, the term mostly applies to later-appearing characters introduced in fanfiction or sequels, and denotes something more like
character whom the previously existing setting gets bent around.
For example:
A powerful character can have a kickass weapon without being a Gary Stu; a Gary Stu has a weapon that is made of Ghal Maraz and two Runefangs melted down and reforged together with all their powers combined.
A beautiful character can receive reams of adoring love poems without being a Mary Sue; a Mary Sue receives adoring love poems from characters previously established as celibate, asexual, blind, or the like.
To borrow a wrestling term, much of the setting will be 'jobbing' for a Sue - suffering an externally arranged loss rather than a loss on prowess. A Sue usually has few or no original accomplishments, just other people's accomplishments repeated better. A Sue frequently results from a sort of laziness/ignorance on the part of the author, depending heavily on existing content, writing "Like Bob but more so" and adding very little new to the setting, just upstaging existing characters.
The original Mary Sue story, a Star Trek fanfic, features Sue beating out Kirk to become the extra-youngest Starfleet captain, then she's complimented on her logic by Spock, takes over doctoring while McCoy gets sick, and would probably have continued like that with the rest of the named characters if not for the fact that her story is only about the length of this post.
Warhammer has very few Sues of that sort.