I'm a bit of a fluff nazi, a fluff fascist if you will (all nazis are fascists, not all fascists are nazis

). But I don't believe there are supposed to be any difference in the colour schemes of the different Brotherhoods, with the exception of the Purifiers all having white helmets.
I am willing to accept a player that has their Grey Knights painted in different colours. Is it the way I'm painting my Grey Knights, no, but if you pick a good colour scheme and do a good job of painting it, I won't say anything against it. It's just not what I would do.