I really approve of that shopping list of models! Great selection.
I have to admit that I have never tried Sep+Nero as the only models against three gladiators - it would actually be interesting to try.
Now I want to.
I have no idea how well it would work - one big problem I see is that if you want Septimus mounted and fighting, you only get a turn every other turn, because every time you attack, you will gain fatigue, and that means your next turn will be a clear turn. Granted, Nero will Wild attack during that clear turn. But still.
Basically the main problem I see is that effectively only having one model in your cohort probably won't be much fun. Your only real option is to charge in, start rolling dice, and then roll dice for the rest of the game until the game is over. Once you get stuck in, most likely you will just want to try and murder whoever is the closest enemy to you at all times.
But maybe some sort of variations on mounting and dismounting could be interesting? No way to know but to try...