The good thing about the Alpha Legion is that they're ambitious, secretive, and manipulative beyond even most other Chaos Space Marines -- it's debatable what their motives even are. So it's not impossible that there's an Alpha Legionnaire that develops his own agenda and perpetrates infamous acts that ultimately merit daemonhood. It's less likely than with other Chaos Marines given the (still perfectly valid) "purist" view Arquarian mentions, but given that the Legions hardly operate as discrete entities, there are bound to be plenty of Legionnaires and warbands that don't subscribe fully (or at all) to the Legion's general indifference in the Chaos Powers.
Then there's Kernax Voldorius.
