Another Idea that I may explore is possibly controlling a small Eldar strike-team that is attempting to rescue a "Classified Asset" that is in the sector, trying to use the war to cover their movements. Being that the Imperium are blowing the shit out of everything, they aren't stopping to ask questions or investigate anything.

Honestly, something that I'd suggest in this is saying "You can have 1 character that nobody is allowed to kill without your permission, everyone else you control are as expendable as you'd expect." I mean, if you are temporarily controling a Guardsman who gets thrown into a fist-fight with 5 Space Marines, it's pretty safe to say that poor little Guardsman isn't getting out of that with his breathing privileges intact. However, if you are playing a squad of Space Marines beset by a horde of Cultists, then it should be for the players to decide which will come out on top.