Terminators with toughness 5 and feel no pain are very different from mere bikes with feel no pain so no comparison there. Also the icon would have had to have given more than just feel no pain if nurgly as otherwise plague marines would never take the icon, or if they had their feel no pain taken away, be forced into taking the icon.
No matter what you might think, there was only one Daemon weapon before. You had the mark of Slannesh you had one choice, the same with the other marks. Now you have the choice or a daemon weapon, no matter how you are marked, plus many other choices. The equipment options for Chaos Lords is much greater than before. Besides if you really want your Daemon weapon to be AP4 ie even nastier than it is now, just give it to your Daemon Prince, wullah AP2
Not sure about the Terminator weapons thing without the book in front of me.
Take more Obliterators if you like, leadership tests for them are pretty irrelevant nonetheless, or if you're really desperate for them to be fearless, lead them with a warpsmith or something.
If you have a Daemon prince in combat with a single psyker and he can't kill it before the psyker manages to strike back, then you are having terrible luck. Even then you're WS 9, T 5, with an invulnerable save. Not in a whole lot of trouble against a single force weapon.