So, after doing some reading, here's other thoughts I have had

On mechanics: Most of my players enjoy rolling stats, so I am going to have them pool rolls and I will toss them into an array, that way they can pick a "rolled" statline, but no-one is going to have anything outlandish due to lucky dice rolls compared to the rest of the party.

Many thanks to Aneurin for clarifying that ruling on the DoS damage, definitely one I am going to make use of. However I'm a little on the fence about how I want to handle righteous fury still, Open ended rolls can make for exciting moments, but by the book, the need to toll to-hit again seems to slow that down? I don't want to bog down combat too much, so I am still learning a little more to just roll a d5 minor crit like Anonymouswizard recommended.

I got my hands on the Deamon Hunters book where it has the rules for Grey Knights, and the fact they are the equivalent of a Dark Heresy Character with over 13k exp, only reinforced the clarity of keeping them separated from acolytes. I know the fluff well enough to say with certainty that a Space Marine isn't just a jumped up shock trooper (That's what the Astra Militarium Storm Troopers are for after all), but that is hard Mechanics of the system that backs up the 'no' I gave to my one player who asked to play one, and turns it int a very firm No.

Speaking of players and setting,

So far we have two Guardsmen, one Sororitas(IH not Blood of Martyrs), an Arbite, a Scum, and an Assassin. My Arbite player has played a little of the system before and grabbed some background packages to diversify his Social skill pool, which great as he's usually my most reserved player. He knows this Setting really well, an avid fan of the wargame and novels, so I might use this as an opportunity to encourage him play the party lead which will be good for him.

My loose plans are for them to hunt down a few divergent cults from the imperial creed, and let their knowledge of the game setting guide their choices, basically, encourage a little meta-gaming so they can steep themselves in paranoia and fear, and I can provide the atmosphere around that.

Their party is looking a little like the all guardsman party (I've read it all a while back, still a classic), while I may ask for a little more... seriousness(?) from the players, I don't mind them playing the kick-in-the-door, shoot first, let the Adepts ask questions later approach. That sort of black-bagging suspected enemies of the state is pretty much how the Imperium rolls.