Fluff wise i can help. In Kislev the worship of the Dark Gods is not illegal, it is shunned though. Being an Ally of the Empire it does cause tentions (especially with the travelling Sigmarite Priests).
You can explain it by being a forward empire force who integrated with a local army after the great war and dedicated themselves to the dark gods along with those who they fight beside.
As for a Knightly order - well the Empire is so corrupt, not all the knights are "For Honour" and i wouldnt put it past one to put a knife in the back of a Grand Master if he thought it served his purpose.
Don't, after rolling that final 1 too many, flip out, climb up on the table and jump up and down on your opponent's models screaming 'APOCALYPTIC BARRAGE, MOTHERFUCKER!!!'.