I don't know so much about the deamonhunter rules. Space marines can have a terminator command squad (and with lots of options), but I don't know about the deamonhunters.
But in theory, there's no reason why a GK terminator would not carry a banner, so I would suggest using your imagination. You can just use a grey knight terminator with a banner in the one hand and his normal weapon in the other. He still counts as a normal grey knight, but he looks amazing (I know that your GK's will look amazing ;D).
You can just use a normal GK termie squad and convert it to a command squad. This will count as a normal termie squad (gameswise) but will look great.
As I said, I'm not familiar with the daemonhunter rules. So I would suggest a tour down to GW Oslo. They have readable copies of every codex, so then you can read the rules.
I love the witchhunter & retinue idea but that's for another day, i just have to paint up some of these GK Termies, a total metal overdose.. yeah! CODEX, of course, thanks Tim, i think i'll pick one up at the weekend ;D
If you want to make a 40K squad leave Stern at home! As my friend at GW said 'you can always enter him in the singel figur cat!', YEAH, i wanted a squad! So i asked, what about an Ordo Malleus??? Feck this, they are just as crap in a squad, then we checked ot the CODEX, if i want to have a legal Grey Knight Termie squad... guess what..only termies apply.
So get ready for the most amazing 5 GK Termies you've ever seen ;D