If the party is behaving like radicals, and I mean actually skirting falling to chaos, then I would imagine an opposing inquisitor may very well decide it is not worth the risk of the parties continued existence, and sick a culexus assassin on the party. The party is actively dabbling in sorcery. That alone crosses the line of what is "too far." It is one thing to understand with an intent to combat, it is another to use.Any Grey Knight would immediately turn his nemesis force weapon and storm bolter against any such individual found using such abilities.
You really need to reign your players in. You claim to have a Grey Knight behaving almost like a radical. Without details, its hard to proceed, but that simply sounds a bit too out there. A player can want to be a special snowflake, sure, but this may very well be too special of a snowflake. About the biggest struggle a GK should ever have is with the fear that realizing they may in fact have the dishonour of being the first Grey Knight to fall. Certainly, its possible, but its so unlikely it just doesn't happen.
Honestly, I got no real suggestions for you. The Grey Knight needs to realize that they are working with those who are committing grievous blasphemy. Encouraging party PvP though is simply never a good thing though, so in all honesty I don't know what to suggest.
Are you fine with the parties alignment, and just looking for a way to drag out combat? More enemies (look at horde rules), endless daemonic incursions (every time they destroy a horde, a new one appears. The goal is not to defeat all the enemies, but rather to stop the ritual). Make combat less about "kill all the enemies" and more about "we must do X before time runs out." Up the price of failure. Going into a straight up fight will always make the true enemy flee before they are ever at risk. Its fine that combat is lasting so few rounds, in all honesty, that's about as quick as a firefight like that should last, what you're players have to deal with is that they let the enemy get away if they engage too early. Do your players always seem to go first? Examine why that is, and make sure the opposition is able to keep up. If all else fails, cheat. It is a GM's right to use such a tool. You are keeping your rolls secret, correct? As long as it is for the purpose of keeping the game exciting, to keep the players on their toes, then they cannot hate you for it.
Perhaps a Herald of Slaneesh has 3 dodge actions and 75 agility, how the hell is the party supposed to know? Do they read the bestiary? Are they openly acknowledging to having out of character knowledge? It sounds to me like you have a fairly optimized party on your hands, their opposition should be equally skilled.
About the best I can come up with is a TPK, blank slate the thing, and get some nicer, low level acolytes in play up against more manageable foes, and back down to a scale that is humanly comprehensible at the start of play.
Sorry if I sound all over the place on this topic; it sounds like you have a real mess on your hands.