[x] The Deathwatch would rather take him in to deliver him to their Fortress when they had a chance--evidently it was part of repaying some debt or another. You won't be able to interrogate him, but having the Watch Captain owe you a favor for acquiring a high ranking Traitor like this will open up a fair number of options in the future.
Duh. Gain favor, and I'm not keen on holding him.
[X] Claiming that this was an act of the Imperial Navy in winning a glorious victory against overwhelming odds keeps your own force obscure, but also means that you'll have additional freedom of movement. Humility is a virtue, and letting them gain a public relations coup would be well recieved.
Also duh. Security through obscurity is our primary modus operandi, and extra favor just sweetens the deal.
The Sword's a bit tricker, though. I think we should let it be destroyed, though. I'm leery of trying to bind it, that option doesn't tip our hand to the Imperium, and tripling up on favor means we get 5 favor just from this one action alone - plus a Battle Barge!
[x] The Deathwatch lacks containment capable of sealing a Daemon Sword long term, smashing it and then gunning the Daemon down under the weight of tanks and Dreadnoughts should be a good way of solving this problem though.