Wow, ok, I just noticed the problem with getting more dreadnoughts to join an army. I had a 2nd and 3rd dread selected and hit the combine army button and nothing happened. I was able to repeat the cntl-number thing to add the other dreads to the control group, but I still don't know if they ever are really included in the army itself.
Is this a bug? Or is it considered a feature?
By design only one Dreadnought per army. There is also a limit to an army size as mentioned above but I forget what it is.
Perhaps the one Dread limit is because they can provide upgrades to the whole army so that gets complicated if you have lots of Dreads do you let those upgrades stack? Then you would have a extremely powerful ball of death (OP and balance issues). But if you don't let them stack then you have to pick which Dreadnought is the lead one which allows its Army bonuses to take effect which could be quite the fiddle and quite possibly a pain to manage.
I think they once side they would expand the army size limit at some point but at the moment there is a limiting factor which will take time to get through.