I think a few pronounced differences would be the greater overall level of achievement for each Primarch, as they would be competing against and learning from each other from the start. Curze, Lorgar, and Perturabo would have Magnus around to explore their stronger inherint psychic abilities, without seating them in religion or nightmares. Russ, Angron and Sanguinius would be sparring with each other from the start, driving their fighting skills to even freakishly higher levels of performance... if that's possible. Or the strategic competitions between Horus, Guillamin, the Lion, and the Kahn from day one... the GC would have been finished in about half the time. Alpharius, Omegon, and Corax all have Malcador to learn intelligence gathering and duplicity from first-hand. Add to this all the resources and history available through Mother Terra and the Emperor. Quite scary and I can see why Chaos absolutely needed to scatter them to the four winds, as it greatly weakened the entire gestalt of the Primarch Project and each of the individual primarchs in turn.
I also think the differences between each would be far less pronounced, as each would have more of an equal to compete against and learn from, minimizing their differences in ability and raising them all to higher levels as I mentioned above. The early Primarch stories each share the common factor of the Primarch oustripping their entire environment within a few years, both physically and mentally, and essentially only having themselves to learn from. Not to mention the Emperor had prepared individual Primarch-sized apartments for each under the Himalays with furnishings that actually fit their size! Hell, Russ and Mortarion would probably have learned to shower.
The White Zone is for loading and unloading only. If you have to load, or if you have to unload, go to the White Zone. You'll love it... it's a way of life.
: Cigarettes in space?
: It's the final frontier, Nick.
: But wouldn't they blow up in an all oxygen environment?
: Probably. But it's an easy fix. One line of dialogue. 'Thank God we invented the... you know, whatever device.'