Definitely play your game you and your players enjoy. I was concerned because taking things away from players after they have 'earned' them is a great way to ruin their (and your enjoyment). I have been running games for more time than I want to admit, and I have never seen that sort of strategy fail to bother at least one of the players.
On the note of Bolt Pistols, they are still manufactured and issued to officers and elites. They are rare, but not relics. Astartes Bolt weapons would be relics, as would some of the more unusual patterns. Powered Armour is definitely rare enough to justify keeping away from the PCs up until they reach Inquisitor status themselves though. Special Weapons (Plasma, Melta, most heavies...) should be for elites, and that ammunition will be similarly hard to get. Standard infantry or gang weapons shouldn't run into that problem. Of course, the Vold Hive Gang leader who uses a 'leaky' version of an Empyrean Blade in the sewer tunnels is going to be terrifying....while ensuring that the players don't even want to touch it.