Heroes do not get a cover save.  In the FAQ they are allowed the dim light cover save that counts a soft or hard cover depending on range.  Just roll the same as if he were a unit.

Yep, the FAQ exception takes precedence over the general hero rules. Lone heroes benefit from soft or hard cover from dim light, depending on distance.

Dim light functions like a cover save, but is not exactly a Cover Save.

It's all in the capitalization

Okay okay…

It's a bit surprising that now, solo heroes can get a sort of cover.

I guess their cover values will depending of the kind of heroes it is (so, for example, Grenadier X will get the same cover values than the zombies).

Thanks a lot for yours answers.

The thing with Dim Light is that it's a different kind of passive cover, different from soliders actively hiding behind objects. You're in the dark, so you're harder to hit no matter what you do. Because of this all units benefit from Soft Cover (save on hits), Hard Cover (save on blanks) and Cannot Hit, depending on their distance. So Grenadier X would get the same type of save as Joe. I would go so far as to say that if vehicles are ever allowed in such Dim Light conditions (currently it's only the underground, where vehicles can't go) they'd benefit from the same cover.