They are space marines yes. They are loyalist yes. But they were never technically a chapter. They were created apart from the rest of the space marines to be protectors against Chaos. They don't exsist as far as the greater Imperiam is concerned. I know that a lot of that is just fluff but sometimes fluff does have to be taken into account.
In fact they are a Loyalist Marine Chapther. They are designated Chapter #666 with the sucessor Chapter known as the Exorcists.
They could take allies, but only if forced to by the Inquisition. Bummer for those allies though, because unless they are Space Marines, they will be killed immediately after the campaign by the Inquisition.
Just because Codex: Grey Knights is the sucessor to Daemonhunters, does not mean that references to Daemonhunters should also include Codex: Grey Knights.