Explosives collars are good because in some situations, you send suicide soldiers in precisely because they're expendable, and many situations where you want that are those where you might not have support, or a gun-line behind them. For instance, perhaps you para-drop the Legionnaires into deep enemy cover, because chances are slim they can accomplish the objective, but better them than normal troops. There's plenty of potential situations where they might be operating as such on their own, so explosive collars are a nice option.
But there are those who serve in the Legion because they want to as a penence. That see their sin as sin and senserly want the Emperors forgiveness and plus if the group has a commissar her probly wont let the ledionars out of his sight. Also he could stand at the back with the HW guy and blow them away if they turn back. Sorry for any mis speld words or gramarical errors im doing this from a PS3.