Actually, my Red Wing Armada was built around the idea of what happened to one of those two missing legions. Incidentally, when I created the Red Wing Armada, I also did so with an idea of what happened to the other Legion as well (two sides of the same coin).
Essentially, what the Red Wing Armada represents is "Fate" unlike that which currently possesses Ahriman.
The Red Wing Armada is a Legion lost to the Heart of the Eye of Terror. It is a Legion who has been completely swallowed by the Warp to the point it has
become the Warp. The pure embodiment of the Warp and the Gods themselves who are pushed by the primal forces of nature. The are not Undivided nor do they serve any of the Ruinous Four exclusively. In fact, in many ways, they surpass the Ruinous Four who in fact bow to the Armada and it's all-encompassing purpose entirely.
The Red Wing Armada is what happens when a soul is lost to the Warp and dissipated into the whorls of the Un-Realm. When an entity is expelled or consumed by the Ruinous Powers, one wonders what happens to that original essence that seems to fade into the Warp? Well at the Heart, it gains a new, enslaved sentience that knows nothing but the Warp and all of its denizens, sentience and purpose.
Essentially, the Red Wing Armada is a Harbinger Fleet. They are they make up an unofficial "fleet" for the forces of the Warp, despite being composed near-entirely of Warp Stuff itself. The Red Wing Armada exists for one purpose and one purpose only; The End.
In the current theme, the Red Wing Armada is pulling it's unbelievable weight and strength from the Eye of Terror itself, only to be thrust through the Gates of Cadia. It's size is incomparable. It's battle prowess unheard of. It is timeless and ageless. Eternal and of but one purpose to which those lost souls of the fleet are but shadows of their memories too.
Only after their purpose is complete, will the Red Wing return to Warp and to nothing. Only when this End of Times comes again will the Red Wing be seen. But now, it is a guillotine waiting to be dropped on the neck of Terra. It is a certainty that even the Traitor King washes and revels in, knowing that while they serve the same forces, this Red Wing Armada is not one that can be bartered or bargained with.
It is a force of nature that could be called "The Warp" given body and form. And it will see the Imperium burn. +__+
On the flip side, the Red Wings anti-thesis is an Imperium based version that went into "the Light" and serves as the only potential means of saving man from the Crimson Path being sailed on by wrecks and ghosts from existences itself.
Essentially, if the Red Wing Armada sailed to Hell and ended up like the Event Horizon (good movie) then the other legion flew to Heaven and brought back the secrets of Mans Salvation, something which is not what anyone expects nor could even be believed once the End Times finally fell. Basically, the other fleets answer to the Red Wings extermination of Terra is to Noah's Ark what's left of Terra to other habitable human domains and then build them up from there, with purity of purpose and humanity.
At least that's been my version of the 2 missing legions story. More like a Heaven v. Hell kind of twist-off between these two, that will only play a part when Terra falls, because they are both consumed by realities separate from Real Space. Their purposes are hidden except by the insane, and the game that is played extends timelessly now.
My 2 cents.
Also, and this may just be fluff-cheese, but the Red Wing Armada is typically not seen plying the lanes of space with your typical space faring vehicles. Instead, they are typically depicted as ancient, derelict wood and cloth, sailing vessels that creak in solar winds of space. Much more liken to the old Galleons and pirate vessels of old ocean worlds, except with the supernatural and paranormal forces of the Warp sustaining them, they are as hardened as any Battle Barge or Tomb World. And the ships themselves also vary in size, design, function etc. So there are battle barges and such. But there are also wooden vessels which function like drop ships and such. In my army, I actually want to tailor (if I can find the ships to do it) my army to use flying vessel things as Rhinos instead, but still working on those rulesets to not just be an
OP fanboy.
lol Work in progress.
2000 Loki Snaketongue and the Serpents of Malice 
Farseer Faenyin 
7,100 pts Yme-Loc Eldar(Apoc Included) / 5,700 pts (Non-Apoc) 
5000(7 drop-pods)pts (15/10/4)
200pts(lol)
1500pts (10/0/0)
