P 38:
"An independant character with any mark except the Mark of Chaos Undivided may not join a unit with a different mark."
P 12:
"Members of a unit must all have the same Mark or none at all."
The second quote means you can't have a retinue. The first quote means that no IC who isn't undivided can join anything but their own kind. This even prevents marked ICs from joing undivided units, though they can still join unmarked units. And, as stated, models with Blood Frenzy can't be in units without Blood Frenzy, and vice versa. So no, you can't have a Khornate leader with an undivided retinue.