One thing to remember about Dark Heresy is the high visibility of the setting. As Acolytes in service to the Emperor's Holy Inquisition, there will be many opportunities to be "in public." Dress uniforms or comabat fatigues and armour being worn by four, five, or six individuals in close proximity will be highly visible, attention grabbing, and Acolytes typically desire more anonymity. And not every setting or situation leaves a lot of room for walking about with a bulky melta weapon or a cumbersome Heavy Bolter.
I have Auditors (Acolytes) who spend a majority of their time in a civilized setting (a hive) and they are quite vulnerable when it comes to personal armour. Carrying guns can be tricky; some PCs have made attempts to conceal or disguise their weapons, such as tailoring their clothing to accommodate shoulder-rigged hand guns, though average NPCs receive a passive attempt to notice them, and attentive NPCs (the "bad guys") will have a better chance of noting their presence. As a result, on more than one occasion, autoguns have been inconveniently stored in their transport when the shiteth hath unexpectedly hiteth the faneth.
On the other side of that coin…the bad guys suffer from the same inconveniences. Well, unless they intend to draw undue attention to themselves. People wearing Mesh Weave armour (AP 3, 4 vs Impact), normal clothing, Armoured Body Gloves (AP 3) underneath clothing, and getting shot with guns, any guns, or getting into a protracted melee leads to deadly confrontations, deadly outcomes. My Players are a thinking group, careful and cautious, and have recently talked themselves out of a potentially devastating crossfire including autoguns. The bad guys, for their part, also are not interested in dying, so the PCs' opposition usually covers the retreat of impotant personages and then surrenders.
Guns are loud. Enforcers, Magistratum, Arbites, all might hear the exchange of gunfire, and indiscriminate shooting in a public setting essentially makes everyone a guilty participant. Incarceration publicizes the Acolytes, and is an entanglement that causes discord among the Adepta and uses up valuable resources and favors when sweeping things under the rug.
You don't have to take their toys away, the setting should do it for you. A friendly reminder about the easily noticed, obviously deadly and non-concealable Heavy Bolter might be in order; that's the kind of kit brought in when their quary have been cornered and have nowhere else to run, and it usually takes quite a while to get to that point in an investigation.