I like the idea of the prayers, the current system is frustrating with dwarves giving up on hauling everything to the ritual or just plain not having materials because I'm doing something else with them.
Giving the shedim a truly terrifying caste that would actually require an army to kill would be interesting, and probably let them stomp on others in worldgen.
EDIT: Fun fact- blessed dwarves will give birth to blessed children. BABY OF LEMOX.
Like a biological tank or mech?
I had a simular idea for the voidies, a Void-distructor a voidwalker with absurd melee capabilitys but very fragile at range or very fragile without armour
Absurd melee capabilities in this game mean being untouchable (say, legendary+20 dodging natural skill level). Being fragile at a range while absurdly powerful in melee isn't possible because of weapon parries being based on melee skill level. Being fragile without armor would mean that all you'd need is two dwarves and it'd go down easily because it can't instantly attack two dwarves at the same time (with a weapon).
You know what enemies are missing? Webs and heavy armor. Webs to make ranged weapons a necessity (ever fought a giant cave spider? Full legendary elite squads can't rush one). Extremely heavy armor that shrugs off bolts without problem, and protects the entire body with one piece of armor (hadrine plate robe?) so enemy civs won't come half-armored. For added evil, combine both

Seriously though- a web spewing shedim could be interesting.