Title says it all. I don't have $3,500 for a copy!
and the answer is you only need max to convert the models you can sue any program for instance im using blender then i export as .3ds then have my mate import it and then export it as .ALO. its alot more complicated but the first thing is you have to learn how to model.
So how does your mate export it as .ALO?
well that was an example (i should have said) and not for Dawn of War im not 100% sure about dawn of war, but i think it involves the mod tools. but you do need to know some one, or have 3ds max for exporting and such.
sorry i couldnt be more help.
im pretty sure 3dsmax is the only thing you can use for dawn of war.
Short Answer: Yes Long Answer: You can create models in any modeling program that can export into something 3ds Max can read. You then have to have (or have access to) 3ds Max to convert the file to the DoW filetype