I seem to remember something about living in the Webway so much saps their soul, as Slaanesh's hunger reaches them, even there, and they need to absorb emotion to renew it, lest they wither and die; better they give her someone else's suffering (a strong emotion) than their own. At one point, I seem to remember basically saying that the DE worshiped Slaanesh. Some folks here "corrected" me, and I think I saw some Incubi in my yard, prowling.
If the DE actually DID directly aide Slaanesh, beyond I personally believe that she might "go a little easy" on them, so that they'll keep doing things she likes, I believe that the Harlequins wouldn't continue to come to their aide, as they fight CHAOS, and might even become hostile. As beings who reside in the Webway, the DE should make every effort NOT to piss off those who know the most about it.