I deliberately try to mix things up as far as missions go for my game. Sometimes stomping around in full military kit is quite sensible and other times they must be far more subtle about their kit. Sometimes NO armour is the only way to go. Then I scale the potential "fight" encounters based on the scene. If you stuff bolters in their face on a regular basis then they will rightly want to wear heavy armour whenever they can get away with it. Your players will (hopefully) be less prone to cry about being stuck in tuxedos and evening gowns on a mission into some secure social event if their "opposition" is similarly restricted. The perceptive ones will also be paying attention if a pack of goons show up to said social event wearing Enforcer Carapace and packing autoguns and think about just what this MEANS by observing the host and guests' reactions to the classless mooks.
My team has two rather obvious exceptions to the no armour scenes, but they come with social penalties "factory standard". Our techpriest has implanted Dragonscale armour, 6 mechadendrites and the "machine" trait. Obviously he stands out in crowds like an ork at a Harlequin performance wearing a pink tutu... Likewise one of the Guardsmen experienced the joys of Krak missiles the BAD way a while back and is now a full cyber-ressurection cyborg. These two are pretty muched forced into the "hide in plain sight" method for the more subtle missions: "Why yes, I AM a priest of the Blessed Omnisiah. And this is my menial. The master of the house requested our presence at this gathering, though I would much preffer to return to my tasks." Both have pretty crappy Fellowship scores these days, but neither is stupid.
The team's assassin usually stuffs himself into some sort of mesh, an armoured bodyglove or plain old gang leathers. Our Adept wears an armoured bodyglove under her robes when on missions but will cheerfully add or remove layers as needed. The Cleric wears a specially crafted mesh nun's habit when she is being obvious or "whatever" when trying to blend in. The other Guardsman wears armoured bodygloves alone or under clothing when being "subtle" or her best quality Kasrkin Carapace when being vulgarly obvious... She spent a good part of the "Rejoyce for thou art true" mission nearly naked due to the wardrobe in fashion with attractive young nobles at the time.
As for making stub pistols dangerous to your arrogant assassin.... If he went the shooter path he has one gross dodge per turn or two gross dodges if he went the magical melee murder machine path. So shoot at him with four pistols! After that I bet he ducks, takes cover or at least plays the scene a little smarter next time... And that is good too, since it makes your game better! The Assassin in my game makes it a point to fight with a pair of personalized stub autos whenever possible. He owns a good quality bolt pistol, a decent auto-carbine, several sharp pointy things and even his prized "Nomad" sniper rifle but deliberately fights with stub pistols most of the time. He kills the HELL out of things with them too! Why, you might ask, when there are so many big horrible guns out there that he could theoretically use? STYLE! Also because it fits his background: He is from Scintilla and has ties to one of the gun Fanes. Scum who opt for the more thuggish career path are also quite scary with "cheap civilian guns" in their naughty hands. If you send them up against some mid-hive factory workers trying to act tough then it is quite ok for them to suck... It is more or less the point. If you send professionals against your team, have them act the part... Give them a few useful skills and talents, have them use tactics, etc...
The pistols you mention your acolytes carrying are not exactly on the same scale. Carnodons are pretty special guns mostly seen in the hands of well connected professionals or the occasional wealthy poser (who is soon to lose their weapon to the first guy!). "Steel Burners" are specialized (and I suspect VERY non-STC!) "handcannon" laspistols manufactured by the Solex sect of the Adeptus Mechanicus and are mega-rare.
You could always have their Inquisitor send them undercover to infiltrate and investigate a suspected heretical dance club, acrobat troupe or something like that. "Armour? Oh no... You get this skimpy flesh-coloured leotard and this bag full of body-glitter. Afraid the bolt pistol bulges a bit obscenely too, so do leave it in your dressing room...."
