I thought long and hard before preparing a DH campaign. To say that it is morally ambiguous is an understatement. In a lot of games the inquisitors would be the bad guys or at least NPCs that you would be very wary of. DH asks people to play those characters.
Do you ask your players to make powerful moral judgments?
Although the literature speaks of worlds being destroyed and millions of innocent lives becoming collateral damage, would you present your players with that sort of dillemma in practice?
Have you had players go off the rails?
I remember a religious friend of mine once being appalled that I was role-playing. His priest had told him it was evil or devil worship or something. Well, that was D&D. I wonder what he would say about DH : ).
Even the Tech-Priest has become a bit more bloodthirsty of late; though that has likely come about from frustration at things.