Most dreadnoughts do not have enough attacks to be very effective in close combat.
An immobilized walker effectively loses its close combat ability.
AV12 targets tend to be fairly resilient against long-range shooting; their primary difficulty is with melta weaponry. If you want to get in close, you'll have to get into melta range. It's also easier to get into a position that does not allow cover at short range.
Close-combat threats can be ignored until ranges close - while this is a problem for all CC units, the combination of melta-vulnerability, immobilization vulnerability, and the susceptibility of vehicles to destruction by a single lucky shot make target priority against CC dreads very obvious: kill it at ~12", ignore until then.