Yes
Dawn of War set-up refers to one HQ choice. So however your army works whatever counts as one HQ choice would fill that roll.
For example, and Ork Warboss riding in a Trukk with a Unit of nobz. In dawn of war, that boss is walking because you can not take the boyz and their trukk as a retinue or attackment to the warboss. If you take a Tau Commander and give him the two bodyguard Suits, then they would all count as your choice. because when you pick the commander you may take them to go with him.
It all depends if the susequent unit does not count as an elite, heavy support, fast attack, or troop choice. I'm not sure what the command squad and honor guard are. I think the command squad is one HQ choice so it would be able to fill the role of the one HQ deployed. Sadly, I haven't looked at the space marine book in quite a while.