Effectively, the characters story will be that he's a Black Shield Librarian (to avoid having the PCs mind wiped) who is brought as an expert on a demon-heavy mission the characters are going since the players don't have a party librarian. I'm painfully aware from previous campaigns that I played in about the perils of a GM character that is better than the players so I figured I'd post my initial ideas here to avoid adding something too powerful.
Basically, I'd give the marine the Daemonhunter GK stats boosts (+5 ws/wp) as well as the recommended starting psychic powers/level (2 powers from telepathy/divination/grey knights and psy level 2). The character would choose from the general GK and GK psychic tables plus the strike squad table for advances instead of the typical chapter/class/deathwatch ones. For equipment, he'd get Mk8 armor with the aegis as his armor ability (basically -5 to psyniscience test vs him) as well as a force halberd and stormbolter as his starting equipment. He'd get no solo or chapter squad abilities as a grey knight. There are a few things that need tweaking (like Warp Bane as a starting talent.. probably will just switch that to Sanctioned Psyker instead). He'd be a bit better in combat than a standard librarian but definitely crappier in the psychic parts due to the slower GK advancement there. For a group that is rank 3 and respected, I don't see the above as anything mary-sue-ish. Is there anything I'm missing?