This guy is a Herald of Khorne, who has been formed from the violent thoughts of Eldar. The perversions of the Eldar gave birth to Slaanesh, and now the Eldar have an entire way of life that attempts to deny Slaanesh by entirely focussing on other pursuits. But surely an entire slice of their population being that dedicated to the Path of the Warrior must have some sort of echo in the Warp? I've always liked the idea that there might be links between Khorne and Khaine, as well.
Another photo and bits guide here