I think the idea comes from the old Realms of Chaos books describing the Illuminati as formerly possessed and then immune to possession due to that experience. I always assumed this is not due to an innate ability, but more due to extreme feats of willpower.
The comparison to untouchables is an interesting one. Maybe the soul of a possessed is sort of burned out by the intrusion of a daemon and when the daemon is later expelled, there is not much left of the exorcised’s soul thus becoming akin to untouchables (i.e. soul-less).
Many sorcerers acquire their power through forbidden grimoires and/or dark pacts. They won’t lose the power in the former case and in the latter case it sort of depends on the pact itself. After all, sorcery is mainly based on forbidden knowledge (as opposed to the innate ability of a psyker) and once learned knowledge is hard to eradicate in my opinion.
Regarding psykers, I do not think they should lose their innate ability to use the warp, as it has nothing to do with being possessed or any other deal with a daemon and thus should not be lost because of being exorcised.
I furthermore assume they can use daemon-weapons without any restrictions; they simply cannot be possessed (so assume a WP of 99 or 100 for the exorcised in this regard). If something goes horribly wrong when using the daemon-weapon, the daemon can still be released into physical reality and smack the exorcised with a now fully physical daemon claw…
You could call it semi-untouchable, but the exorcised would have no immunity to psychic powers as true untouchables have.