My guess is that the Cult of the Emperor is not part of their indoctrination. They are completely seperate from the the regular space marines and so their organization is different. Regular space marine loyalty may be brought into question, and so chaplains remain a part. You cannot question the Grey Knights however and besides, maybe they know something you don't.
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"Only the insane have strength enough to prosper, only those that prosper may truly judge what is sane."
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