According to all the fluff that has ever been about them they are supposed to be the Best space marines in the galaxy, period. However there is one thing in the codex that infuriated me beyond all that has ever been...anywhere. To think that a Grey Knight Grand Master could carve his name into the chest of a Primarch, let alone a Primarch who has been granted Daemonhood, is the biggest joke in the history of this game. There isn't anything that even compares to how ludicrous that is. I had though about building an army of them and after reading that one thing not only did I not buy the army, I have made it my personal goal to crush every Grey Knight player that I run into.
As far as them being underpriced and overpowered yes they are all of that. Purifiers and the Draigowing alone are enough to infuriate most people. If the Vindicare only got one shot of each type of its special ammo then it wouldn't be bad. Thats how it was before. Nowadays the bastard can sit in the top of a building and blow up a Land Raider every turn it can shoot, which is stupid OP.