There's something hopelessly romantic in the enormity of the background of the dystopian grimdark of the 41st Millennium.
There's a lot what is, quite frankly, mad shit. All of which works in some weird way to give us a super world to play in and wonder at. One of the things which makes, in the Grimdark, perfect sense is members of the Adeptus Sororitas doing self imposed penance.
The fact that this penance involves volunteering to fight practically naked with giant two handed chainsword (itself a completely bonkers idea from the Sunbeam Rd era of GW). Possibly with one eye bandaged up for luck.
The fluff, quite deliberately, never says whether that penance is ever expunged or whether they go on until they have given their lives for the emperor. Of course this makes for great story telling.
I do like these figures - they've been kicking around the WIP pile for, erm, six years. Bored now.