My sole Chaos experience as a Khorne player must be coming through Maybe Tzeentch themed buildings (chaos warp tower, twisted sanctury) produce diplomats and merchants, while Slaanesh ones (perverted house of pleasure, chaos brothel) produces spy's and assassins. If someone wanted to roleplay being Khorne, they could do so by not dabbiling in the other gods realms, and the descriptive God themed names for the buildings would explain where the diplomats and merchants are suddenly coming from.

On a side note, do you think it would it be more effort than its worth to only allow one Chaos God to have their special buildings in a city? Say when you have to make the decision in normal MTW2 between your city being a castle or a town, in Warhammer you have to make the same choice for the respective God (through the first type of God-themed building you make). I'm just trying to think of ways to represent their cosmic rivalry, such as their refusal to share a city, and is probably more effort than its worth to add.