Think about it. They're gods of chaos, and what place is more chaotic than the Warhammer world? There's enough battle to sate Khorne, scheming for Tzeentch, hubris for Slaanesh and Despair for Nurgle as it is, and it's basically a giant hell already. All the fighting is just the four chaos gods revelling in their own chaos-ness and playing off the mortals against each other for kicks. They don't need any of the incursions or thier Everchosen to succeed, which is why they never do: they won the moment the gates collapsed. * This is all but completely canon, you know.