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I feel that taking daemons is fine. Just indicate what ruleset you're using but forge the narrative that they are actually Malal Daemons.

That being said, Night Lords does seem to be the best fit out of the current rulesets.

 Talamare wrote:
Malal and Malice are VASTLY different things

Malal = The Emperor of Man

Malice = Some minor Daemon

My understanding is that Malice is an expy of Malal because GW couldn't copyright it (good to see they were always like this )