The Unity is practically a sub faction within chaos that has only recently conducted any operations after not doing anything for 2 centuries aside from very minior operations. Iskandar Khayon (as in the Black Legion Sorcerer from the Black Legion series by Aaron Dembski-Bowden) made up the "prophecy" when Valek betted him that he couldn't "motivate the un-ambitious bastards to off their asses and fight on Vigilus." The Unity are practically the rejects of chaos. The Imperium is going all covert and shit because they don't want a repeat of Vraks were the planet was kinda turned into a useless bombed out wasteland despite a Loyalist victory. The Tau Empire is trying to have the O'shar Republic built up a feral world human Militia to act as cannon fodder for enemy melee units- err I mean a "pro tau resistance movement". All the factions know of Nazarick's existence. They just feel that they need to deal with the other 40k factions first and then deal with the small fry.
Yeah, I like Overlord, but Nazarick could never be able to fight a 40k faction without captured 40k weapons and vehicles or without aide or advice from a 40k faction. The Past Dwellers are the only people whom Bone daddy can be himself around, rather than having to putting up an "Evil Overlord" gimmick around them. Despite appearing normal, all 21 past Dwellers were driven insane by the horrors of chaos in the Warhammer 40,000 universe. Valek being the less afflicted (shifting between a normal person and an emotionless killer) and Nordo being the worst (gibbering to himself and claiming to hear voices)
The past Dwellers now view war as a pastime and want Nazarick to satisfy their addiction to madness and battle.