Angadil pretty much covered the aspects of the Horse Archers. But there will indeed be horse archers that reflect the Parthian lesser nobles that led the horse archers who were often reinforced with nomadic forces, which is what you see here. All of these could be considered mercanaries, or axuiallary as they were nomads who hired themselves off to their neighbors.
As for the Scythians, they were indeed around at this time, but not that powerful. All units with the names of Scythian are recruitable by all that control their steppe lands, as was in real life.

Sarmatia was, of course, no more a single "faction" than Skythia - it never united, often served as mercenaries and allies of neighbours, and was mostly petty tribal based kingdoms - those in the Crimea & Black sea coast were mostly Roman clients.
Well neither were the Gauls, the Britons, the Germans. But they were indeed a group of numerous tribes, the main ones who are representated in our game. As for the Roman clients, not at the beggining of the game, certaintly. And Sarmatians did have a very important role in history.