I like a Slaanesh and Tzeentch for role playing.
I see the issue as -=why=- are the characters actually in this game? In many games I see characters that don't actually have a reason to be an adventurer, why would a Khornite Berserker sign up for a compact with a Fleshshaper, a Pirate of the Ragged Helix, and a heretek? Why wouldn't he just sign up for the next 'viking raiding party'? Even if he did sign up for a little while, why wouldn't he leave the first time he heard about a war band going hard core raiding?
Khonites, as I mentioned, really have to bend their desires to stay with a non-always-combat style game. Though, I guess you could buy one of those stasis-beast cages from the other FFG W40K games and keep your Khornite Berserker in stasis until combat occurs...
Nurglites still can be player characters, but they tend to take the longer view with long term plague potential. I haven't seen many that would really accept the operational tempo of most adventures, especially that GM's like to put timelines in to race against the clock.
Slaanesh is always in the moment, looking for something new, some new indulgence. They are very good characters for RP, though have ADHD to such a degree that you need some other people to poke them to keep them on task.
Undivided are excellent characters, there are so many reasons for them to be characters.
Tzeentch, to me at least, are the ultimate characters (at least for reason to be a character) for an RP session, they love plots and twists, researching and learning new things. They inherently like the more intimate (non battlefield) setting of an RP game.
I've seen people love the characters that don't fit (my example of the Khornite Berserker), but why would the rest of the party keep you around?