Magnus made a few good points.

One of my favorites punishments is: While you slaughter the minions the leader flees (Space Slip for short jumps, Create Door for long range, or simply uses a fast vehicle) and for good measures sets of the melta charges to let the whole base colapse. Being buried under several tons of steel and rock is deadly for any Throne Agent. Actually, that's just the opposite of what Magnus told us who used hight and falling.

Or simply let them piss of a High Noble (on Malfi). Those guys love vendettas. Accounts get hacked, contacts silenced, gear gets no longer delivered, services denied, ... let them run dry. Even the most deadly assassin is less of a threat when his gear falls apart and no one talks to him.

And non-sanctioned Psykers are a clear target for the Ordo Hereticus. Simply show them that by sending other Agents after them, real Grey Knights, other Inquisitors, angry mobs, and a Culexus Assassin.

So what if they work for a radical Inquisitor? There are far more straight Inquisitors out there who do not tolerate your existence. Even a Primaris Psyker with an Unnatural WP (x2) and WPB 7 is hard pressed against a Space Marine in a Warded PA (Body 12x2=24 Armor + 8 TB against all direct attacks with psionic powers).