I just had a thought, as inspired by
this thread.
Malice, the second coming of Malal, is a little-worshipped god whose goals are the destruction and wreckage of everything else. His worship has fallen out of favour because his followers tend to spend all their time killing each other.
What if Malice was the "mysterious warp entity" that Malys encountered in the Webway and tricked? Thus his practical banishment from the
40k canon... as he's now playing heart for a heartless DEldar witch.