Which faction is the most interesting to play as, and what strategy do you find most engaging?

I agree with Major.
I myself rarely play as Dwarves, but I know how others play. Playing as a Dwarf means constantly "keeping an eye on" the hero's development. That is, if you see that combat parameters are growing faster, you need to turn him into a warrior and focus on Haven to strengthen the army. If magic parameters are growing, you can create a decent Chaos mage.

And with Orcs, the entire development strategy really revolves around 3 "pillars" - Machines, Attack, and Logistics. After that, this terminator starts destroying everything in its path. This basically reflects the essence of the race - Orcs have always been known for their straightforward brutality.