Does it matter what level your final branded warchiefs are?

Not really - You should be fine with about 16 power each, which shouldn't be hard to achieve if you have them betray their warchief as a bodyguard. If you really want to be safe, 18 each is definitely good. It's really up to you, since their job in the final stages of the game is to act as support in two multi-captain battles.

My recommendation is to mix up the types of warchiefs you have; some ranged, some close quarters, and probably a shield or two. That way, it's not one jumbled up battle in the end, and the enemies are forced to split themselves up. Additionally, it's also useful to have other branded captains as bodyguards to your warchiefs, since they'll come with you in the final battle as well. Captains with gangs will bring their gang with them as well.

But at the end of the day, as long as you are proficient in taking down tougher captains with multiple resistances, you should be okay.

To my knowledge captain or warchief levels are only used to determine rune drops. Your selection of warchiefs should be determined by their traits rather than their level.