Well that was the role Grey Knights were meant to fill, I never felt they were very good at it and I played them in 5th when they were at their most broken. Other than a brief period where Draigo + Paladins was really good the usual best strategy for them has been to max out unupgraded Strike Squads or max out on babycarriers because as an actual elite army they don't do very well. They're glass cannons, the basic marine chassis isn't very durable and outside melee Grey Knights are just standard marines for nearly twice the cost, they can't even upgrade their durability and their terminators are locked into being less durable than other marine armies assault terminators in exchange for poor psychic ability. On top of that the Grey Knights couldn't drop in and charge, so Vanguard Vets (of some armies) were usually better for an elite melee drop army because inlike GK termis/interceptors they could plunge right in without getting shot first.
1K Sons have had the same issue traditionally, being killy, sometimes, but dying just fine to bolter fire before they can do anything useful relative to theit cost. Infantry that can eat anti-tank to the face is ultimately not that useful when infantry who can tank anti-infantry weapons are more useful all around, and both are usually inferior to more bodies, and killy but non-tanky infantry with short range attacks will just get chumped by bullets before they do their thing.
Custodes on the other hand were made more durable from the start to all weapons. Normal Custodes were 2+ T5 and 2W and could trade killiness for a 3++. Then almost immediately after they got given a passive 5++ so ones with spears wouldn't be auto-chumped by ubiquitous plasma/grav weapons. Even then they weren't considered all that good when they came out. They're the first super-mega-elite army that earned that title by being tanky as well as being killy. All the terminator armies before them, the guys who were supposed to be the mega elites, still had one wound and folded to mass lasguns with the sound of a wet fart, or got nuked by AP2 weapons.