This of course is the real answer. Taking him to the warp denies him any actions of consequence in reality, and also denies him the glory of dying for the Emperor and Imperium.
But then again, how much must they loathe him to inflict this fate upon him rather than death? There's only one reason they would go to this much trouble.
They want to break him. Not to see him dead or defeated, but utterly broken and spent. They want to make HIM give up, because his surrender would be one of their greatest single victories, one that would be surpassed only by corrupting the Emperor himself.