Well if you make it just prior with the game leading into the Heresy, and the PCs contract was given to them by say one of the primarchs that went traitor. It might give alot of options for higher rank stories. As they try to cast of inevitable suspicion, or maybe with them working with the traitors?
Another primarch thought is what if they were given thier warrant by one of the lost legions, possibly exploring on the farthest fringes of the galaxy?
Of course if they were given thier warrant by the emperor during this period, then the PCs would likely be exploring the "interior" of the Imperium.
If they were given it from the emperor earlier, say before the crusades had left the solar system. Then they would doubtlessly be tasked with setting up diplomatic ties with nearby systems, and paving the way for space marine assualts. (And a few trade routes here and there) Or perhaps they are being offered the warrant by a early intelligence group, who might task them from time to time to infiltrate criminal groups, or rebels etc…
Anyways to keep with Warhammer lore a strong intertwinning with the military I think would make the most sense. Or maybe the early officio assassinorum, or other intelligence group. A game set during this time I would think would be half trading exploring and so on, and half crrying out required duties for the Imperium.
Of course thats just some thoughts. Whatever you end up doing, I'd be interested in hearing about it.