First of all I think this model is perfect for converting to
40K...I made an Astropath from it. As for the skull...well, Imperial agents in the artwork always look weird so carrying a skull round is probably fairly normal for them. Maybe he has found it on a battlefield and he's trying to pick up some kin dof psychic imprint off it or something? With
40K you can use psychic powers to explain a lot of things!
On the other hand, you could do what I did and convert it to be a servo-skull. As you can see below, I simply added a bundle of cables from another kit to the bottom of the skull, and there you go. You could also add a cybernetic eyepiece to it or other bits of technological weirdness.
Another idea might be to file away the hand and replace it with one pointing or holding a pistol or some other weapon - you should be able to get suitable bits from some
IG kits (if doing this I would recommend looking at the
IG Command Squad kits, especially the Catachan Command Squad, as their scale seems more realistic than the most other
IG plastic kits, which have rather oversized hands).
You can see more pictures here!