Epics can be used in any map, they take 2 slots in your team (they count both as a hero and a trooper) and when you play with them you have 1 less command point (on average you get 2-3 cps per turn).
They get an extra row of stats (so an extra wound), you can see more details in miahs blog. He has reviewed both of them. I dont use them ofen, and when I do (in tannhauser online as I did not buy the figures) is using homerules to nerf them and bring them back to hero level.
I think that only Asteros costs 1 Command Point to your team (because is difficult to control). In the Natalya rulebook there is no info about the CP, so you play with all the CP if you play with Natalya.