It's a little bit different with the Furies. They are created from the souls of the ones that constantly change their allegiance for one reason or another, such as the practices of the early days after the heresy by the Black Legion - which nearly left the legion in ruin, before the sorcerers found a safer way to perform daemonic possession and so forth.Lord of Change, my friend.
And if someone would be changed into daemon prince by lesser "God", he wouldn't be "of Chaos undivided". Besides, souls of those who couldn't decide which God to follow are either devoured by Warp beings or turned into Furies. Now imagine someone who would have enought will and power to stay sane, and to "feed" on other, weaker souls and lowly daemons. he might eventually gain enough power to call himself a greater daemon.