Also, this belongs in the Daemonhunters main forum, rather than the Daemonhunters Army Lists subforum =).
But yeah, Lyrazu hit the nail on the head (hmmm, hammer analogies seem particularly fitting in this thread

). The
other reason to put it on a squad member rather than your BC or GM is that the Brother-Captain and Grand Master are both Independent Characters, and can thus be singled out in close combat. So you've got a better chance of actually getting to swing with it if it's not on an IC. Also, the GM has good initiative, and it'd be a pity to waste it on a 'strikes-last' weapon.
Personally, if I were to use a Daemonhammer, I'd only use it on a Grand-Master as a replacement for his Storm Bolter. That way you've got the extra attacks regardless of which weapon you use (NFW or Daemonhammer), and can use whichever is best suited to the combat at hand. If you're up against an equal-or-lower initiative foe, the NFW will probably do better, but if you're up against a faster foe or a daemon, the higher strength is nice.
But yeah, it's expensive, and then you have to decide between a high-strength Force weapon and a higher-strength power-weapon, so you're usually better off giving a TH to a squad member =).
-H
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