I don't think that the Lost Legions fell to chaos. I think they deifed the Emperors Truth and worshiped him as a god. That is why the Emperor came down so hard on the WBs. I think their Primarchs took this line of thought further and felt they, as the Sons of a God, Were Gods also. I think one is Sigmar form Fantasy, and could see why he might feel he is a God. If you grew up on a world that had was bursting at the seams with Gods, and you beat them all, it might be hard to convince you you were not.