But they aren't made out of pure warpstuff.
That seems to be the common thread. Daemons are all formed out of the warp. Essentially made of magic. The avatar works in much the same way. He's manifested on this plane but exists in another and his body is magical.
Meanwhile the wraithlords/guards may have a magical aspect, but they're not from the warp, not made of magic, etc. They're machines with a spark of soul trapped inside, but that's not really very different than Dreadnoughts. Only difference is, Eldar store the soul in a gem and humans store it in a lump of preserved flesh.
If you think about it, aren't living beings very complex, organic, soul-powered machines?
Thousand Sons are merely walking suits of armor animated by magic and filled with dust. They're not daemons.
Plague Marines are barely more than zombies. Walking, disease-bloated corpses held together by foul chaos magic...but they're not daemons.
People, dreads, wraithguard, even thousand sons and plague marines all have one thing in common:
At one point in time they were born on this plane. They come from here, not from the other side. GK rules are all about banishing daemons back to where they came fron, severing their connection with this plane.
But these souls and beings don;t come from there. You can't send them back.
Daemon Princes and Spawn are the exception as theyve given themselves over by chaos so absolutely.