This is how I used to run my campaign, I'd change owner in the lobby to give units to each of my players, then at the end I'd stitch together the XML files manually. I thought that I made an RFE to Ralgith to better support this, so I wouldn't have to stitch together the XMLs, but I can't remember what came of out; I haven't been using MHQ for a long time.
I know it has been planned for a long while, I just don't think it ever got finalized. I'd like to see better handling of it as well for some of my campaigns.
The way I do one campaign is to assign a scenario for each player and then just resolve them at the end (one via the last auto-save and the other manually, after editing the salvage file so they don't get salvage twice but recover any of their downed units). It works but is still annoying.