Definitely agree you should make the initial brief of the story turn out to be but the tip of the heretical iceberg. Say there are reports of homeless and underhivers going missing in one underhive area. Nothing new in itself but it seems to be happening at a disproportionately high rate even for the underhive. When they get down there you find that the shanty towns they find are nearly ghost towns. If they can find any inhabitants they resist being questioned and look terrified. From then on the players have to figure out what on earth is happening down there. Lot's of room for tension building, maybe some of the cell memebrs spot movement in the shadows and the group feels eerily like they are being watched. The threat, whatever it is at this point could anything you choose, maybe it's a genestealer cult, or some sort of crazed chaos cult being run by a corrupt noble. Sacrificing the dregs of society to gain favour with his patrons and do what they feel is a service to humanity. Or maybe there's a group of logicians using the humans of the underhive there for illegal bioresearch and as fodder to fuel their heretek creations of war. it really comes down to what can you imagine given all the fluff you have to work with.