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Also so all your cities have Governors.
A city without a governor is a city at disadvantage. So the message is meaningful in that regards.
The game does not actually explain it well but you have a "hero cap" and recruiting a hero above that cap will increase their upfront costs as well as per turn upkeep.
The thing is, hero cap is directly tied to number of cities you have. If you have three cities, your hero cap is three.
Cities are also meant to have governors assigned, which gives slight boosts to their economic output or boons such as recruiting specific units depending on the trait of the governors, and the governors can only be your heroes.
There is no reason not to get a hero when you can either. They are powerful units which can provide your army with very powerful boons, so it's generally best to get them when you can.
Just don't recruit a hero if it would put the number of heroes over the number of cities you have and you SHOULD be okay.
I personally use one hero per army. It generally works out anyway since three armies can fight at once, and though heroes are strong, it's still good to have regular units to, if nothing else, take the hits for them.
Heroes do not have any upkeep. So, as others have said, take them if you can. The hero does not have to be in the city or its domain to give the bonus (a very nice change from Planetfall). There's nothing wrong with multiple heroes in an army. You can do it if you don't have enough troops for all your heroes. Some abilities are just for the "leader", though, and only one hero will be the leader in an army. It is usually most effective for each hero to have their own full army, if you can afford it. Don't bankrupt yourself trying to do this too soon.