Challenges: Get onto the planet undetected
Unless the planet has -no- orbital sensors/satellites/patrol ships/listening posts up in the orbit and/or the wider system, your players may need to get stealthy. This means that they either need to smuggle themselves in or that the ship that brings them in enter real-space far away from such sensors, which in turn means they will have fly a guncutter for a -long- period of time. I had some inquisitorial agents spend DAYS inside an Aquilla for such an operation, they hated it. Aside from that, it means "sensor works" and this means tech-stuff.
Once that is done, they will have to enter civilized area WITHOUT being spotted. Do you want to make this tuff for them? Do not give them local support. Spacemarines stick out like a sour thumb. Chaos Marines even more so.
Challenges: supplies, supplies
How much supplies do they have been able to bring along, and how (see above)? When will they run out of it? They will need a base of operation and will need supplies. Not only ammo, but food and drink as well. Chat with them before so that you know their general plans, this will help you to generate targets for such. Next, thing about disturbances and bring some up now and then. How do they deal with people that stroll into their lair? What if they will be missed...? Challenges: demon deals
A daemon of tzeentch may offer support. For defined support , the creature will demand things like "raise a building I am going to show you" or "slaughter the first imperial priest you meet from now on, and leave him on display with his eyes in his mouth, right where you killed him". One succh thing will include "do me a favor when I ask for it". Make them really on it, then have it turn things into pure trouble for them. The daemon tests them, or it maybe follows its very own agenda.
Target: the files of the enforcer and the church
They will need support and followers. Those who are suspected to be evildoers may help. But how to get those WITHOUT tipping everybody off?
Target: the astrophatic choir
If they cannot call for help from off-world, it evens the odds...
Target: the governour´s wife
The planet will have somebody who is in charge when the RT is away. This person has a well-loved wife who is charitable, diplomatic and loved by the populace. Give them a prophecy about having foothold when the gov kills his wife and the populace learns it. Especially when he REALLY did it!