The Aegis, Daemonic Infestation, and Rites of Exorcism can still work for a Hero no matter where he is. But you are correct in that the Shrouding would not transfer as the rules for Shrouding do specify "Grey Knight unit" and the Hero joined to a squad does not make that squad a Grey Knight unit. Though the hero all by himself is a Grey Knight unit.
The Aegis works as it says Grey Knight unit or character. Daemonic Infestation works as its has to do with the mere presence of Grey Knights on the board. Rites of Exorcism works because as in independant character he fights as his own seperate unit and to charge the squad he is with they must also charge him. The wording on RoE states "All Daemons attempting to charge Grey Knights" and not Grey Knight units so it still applies to him. These are unique cases as far as comparing what happens in comparison with USR and the BGB. Specific rules always overide. A rule has to either apply or not apply and cannot be both. In the case of RoE it specifically states that their presence on the board makes it happen and so it has to always be in effect no matter if hes in a unit or not. Remeber that specific rules outweigh global USR restrictions.
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