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The fluff always seems to mention tzeentch as being all changing and wizardry where does the tough as a 2++ or a 2++ rerollable come from ?

Their toughness can also come from where they're turning projectiles into other things. There's mention of lords of change enjoying turning bullets into confetti and such, also the whole they only visually appear to be weak on purpose to decieve.

Though that 2++ generally comes from the grimoire of true names, since their names have power over daemons it could make sense that they can boost up their durability.

The reroll is generally from the effect on fate Tzeentch has.

Because they're daemons and they don' necessarily have to follow the laws of physics?

I always imagined it was because the Tz daemons were basically made of jello and bullets went through them.

I think it comes from the idea that tzeentch is meant to be like the changer of fates and stuff like that. So having good saves like that I think is meant to represent how his followers can change the outcomes or people he favors can have events change in the blink of an eye.

I don't think they should have high toughness though.