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So, I was on the GW website and looked at the Chaos Daemons range both for 40k and AoS and to the side or right below it says: "Use in both Warhammer 40,000 and Warhammer Age of Sigmar", to which I was happy that they had new models for 40k, so I just bought a bunch of Slaaneshi models. But looking upon it now, I can't find any rules for them, so I think there's been a mistake been made somewhere. What should I do?

The only Slaanesh things I could find that don't have rules for 40k other than the Endless Spells are the Hellstriders, and they could just be played as Seeker's anyway.

The new Slaanesh models do indeed have rules for 40K, that's why if you check the GW website they are listed right on the 40K pages for Demons. That said the rules for them were released as a separate pack, though I don't keep an eye on 40K at present so I'm not sure where GW put them (I've a feeling there's a white dwarf issue with them in at the very least - there might even be something in the downloads pages on the website).

Regardless I'm fairly sure they come with the rules for 40K in the box (I can't check as once I'd built them I threw the rules for mine out)

The rules are only from actually buying the kit in question IIRC.

There's points on this page here in the download
https://www.warhammer-community.com/2019/05/08/tactica-daemons-of-slaaneshgw-homepage-post-3/


And some previews of the 40K and supporting notice that they are in the instructions that come in the box right now

https://www.warhammer-community.com/2019/04/23/slaanesh-the-new-datasheets/

 Overread wrote:
The new Slaanesh models do indeed have rules for 40K, that's why if you check the GW website they are listed right on the 40K pages for Demons.

Those seem to be the AoS warscrolls.

The june or july white dwarf had the new datasheets. Thats all they did to support it for 40k.

Lol, if you want the datasheets, literally google 'new slaanesh units datasheets' and the new KOS, the epitome and syskelle are all there on the first page!

Nothing wrong with using these rules if GW aren't making them available in any other reasonable way.