Surely playing against Daemons and taking an I-Lord with Sanctuary is fluffy as hell? I can't think of many things you could put in an imperial army against Daemons that fits better with the background.
To me, if something would be likely to happen in the 40k universe and is fluffy/narrative, then it's automatically not cheesy.
And I hate to call anything cheese, but the reverse is also true IMO: A single squad of GKTs beaming down into a guard army to help them fight Tau for example is just wrong.