My favorite piece of fluff is that Alpharius and the Alpha Legion are secretly part of the Imperium and are undercover. Not only does that fulfill my "James Bond in power armor IN SPAAAAAACE!" fantasy but let's me play an army I like. I don't like the Imperium and I don't particularly like Chaos. I just like renegades out to do what they think is the right thing.
I also call BS (and I'm not talking about ballistic skill) on Guilleman killing Alpharius. It'd be pretty disappointing. I do love how everyone doubts that he did kill him though. Even Guilleman's own marines are not sure Alphie is dead.