Sorry for the double post, but I've been meaning to respond to this for quite a while but I just kept getting busy and I never finished it, so here it goes
I feel like the notion of "Imperial citizens knowing about chaos" is wide-spread in the Imperium; However, the notion that "Imperial citizens are aware about the
nature of Chaos" is rarer and really depends on where you are and who you are in the galaxy. Examples: Inquisitors after the first war of Armageddon consigned millions to death simply because they were exposed to Angron during Grey Knights' Months of Shame (The Emperor's Gift). It wasn't the existence of chaos alone that lead the Inquisition to make that decision, it was the fact that some of the more dangerous secrets of Chaos were exposed: ergo, the truth of their connections to the warp and the existence (and possibility) of the Daemon primarchs. However, I also wouldn't be surprised if some planets didn't even know about Chaos altogether: In the Warhammer Crime series, the Hive World of Varanganta doesn't even believe that Xenos are real, and in an Iron Snakes novel a high up government official expressed incredibly about the existence of
Space Marines.
Doyalist reasonings for this are that there are simply a lot of writers that have a lot of differentiating opinions about the setting (especially with GW's canon policy) but the Watsonian explanation is much more interesting, since it's a combination of the limited and often wrong nature of information and record-keeping available in the Galaxy and the scale of the setting
As such, it feels to me like the majority of people know about chaos as traitors (hence why they are mostly known as heretics - an already major crime in the greater imperium - instead of something far worse). But, to play my own Tzeetch's advocate in the context of this story I will say that in a Penal Legion they'd probably be whispers about deamons and the likes beneath the ears of prying commissars anyways, so it's whateves.
And so, in regards to Thersa, the story is that she's some gal from an out-of-the-way Imperial planet who wasn't really involved much with the wider galactic community. Local population probably didn't know much about deeper lore of the stars, but were aware about Xenos. Chaos? Only the basics; ergo, they are 'heretics' and 'traitors to the emperor' but not much more info than that. The Ecclesiarchy probably had a minimal presence, so the local religion is probably an off-shoot of the Imperial faith (which is faster and looser than you think, as long as you believe in the emperor as your god your good. IIRC in tribal worlds they suffice with having the Emperor simply be the chief deity). Off-world travel was probably limited to trade and military purposes, as is standard.
When Chaos came along, several things happened: A) Thersa wasn't privy to the true nature of Deamons; And so, as with what often happens, she confused them with some Xeno species. B) It wasn't a huge warband, so unlike as with happens with Pleasure Worlds the planet didn't get immediately bombed and scoured clean of life. C) When the Inquisition arrived, they discovered the presence of a Deamonic Incursion. Fearing Chaotic corruption, they took the survivors off world and swore them into forced silence via penal sentence. A bit too light tbh, but at least it's better than usual lmao.
On another note, fixed my mistake about the notion of the Arch-traitor. Just sounded better to me during writing.
So, I'm not Greendoor, but for all intents and purposes I am his Co-GM. I'm his editor, co-planner, and we largely share the same view on the 40k setting. So I'm reasonably authoritative here, though anything green says supersedes me.
So, nothing you're saying is new information to us: We have read these materials and discussed them. We are aware there are Imperials that aren't sure that Space Marines exist, or that Xenos exist. We largely ignore stuff from Gathering Storm onward, but there's canonically a Rogue Trader uncertain if Tyranids exist, and he's writing Roboute Guilliman of all people what he believes to be the most authoritative book on Xenos ever (Liber Xenologis). This all remains more or less true and indeed we largely hold closer to the concept that people don't know a lot: There are plenty of Imperials who think Space Marines aren't real, many people have never encountered an alien outside of Imperial propaganda, and there is a great deal of misinformation even among fairly high ranking Imperials. We are also aware of the variety of the Imperial Creed, it's certainly not 'faster and looser than
we think'.
Eventually you are going to need to come to a decision on what people in the current area actually know, and knowledge about Chaos is particularly inconsistent to the point where Watsonian explanations begin to break down. Who knows about Daemons? One source will tell you that the Inquisition even keeps Space Marines from knowing about Daemons and only consent to mind-wiping because execution is out of the picture, another will have Imperial citizens dismiss Daemons as Imperial propaganda, a third will have Daemons
depicted in public stained glass windows. Traitor Marines? Traitor Primarchs? Throw a dart at a dartboard, and even if you miss, you've still landed on 'canon'.
When it comes to Bloody Gates, and pretty much all of our stuff, the average player basically knows the following:
1. You are almost certainly told that Chaos is the evil, spiritual Archenemy of the Imperium that involves the worship of unspeakable, Dark powers. You've heard those that worship it are traitors and heretics, and that they probably eat babies or something. You are liable to mistake heresies that have nothing to do with Chaos for Chaos* and just as liable to not recognize Chaos cultists who aren't being super blatant. You may even believe that all Xenos are the spawn of Chaos, and you'd even have some Imperial theologians agree with you. Odds are good that you have never, ever seen someone who worships Chaos. You may not believe that Chaos exists, in which case keep it to yourself.
2. You are almost certainly told Daemons are evil spirits of Chaos, but likely know nothing but superstition. You have probably heard stories about Saints being tempted by and defeating Daemons. You probably have heard and believe a lot of folklore about Daemons: you may believe that your milk curdling is the fault of Daemons or that Daemons are repelled by churchbells ringing. You may think of Daemons as propaganda, or just a metaphor for sin or something. If you had seen a Daemon, you are unlikely to mistake it for an alien**, but that's more because of their soul-searing presence and the bloody tears you weep than any resemblance to the generic, abstract concepts and images depicted by the Creed. You would probably misidentify a lot of horrors in the galaxy as Daemons, but being fair, even skilled Inquisitors would get some stuff wrong.
3. You are told the warp is hell, effectively, and are liable to use it as a curse word. You may also have heard to it regarded as the 'Outer Dark' or other euphemisms. Daemons live here, and it is bad. There is a decent chance you believe sinners are sent here when they die. You probably believe that Imperial space ships travel through the warp, because you have traveled in a space ship and it was very spooky. Even if you didn't believe it, the guy pointing a shotgun at you while you were forced to recite prayers to prove you weren't corrupted by the Warp probably did***.
4. You probably do not know the differences between the Chaos Powers. If you do, you are likely from a front-line world or from a highly educated background, and even then your information is pretty generic. If you are from such a background, you may know the names of the Chaos Gods, if so, you are likely wary about using them. If they don't hear you and take notice, your fellow Guardsmen or the Commissar might just shut you up instead.
In regards to your background, A. It is reasonable for Thersa to misidentify Daemons as Xenos, but doing so because they don't know that Chaos is a thing is an unlikely explanation****. Between legitimately not being able to tell, PTSD scrambling memories, double-thinking herself into believing it was an alien, or Inquisitorial mind-scaping, it's perfectly reasonable. B. Unless the planet was on the verge of becoming a Daemon world or utterly worthless, you do not need to justify why a planet wasn't Exterminatused in our stuff. We take the depictions of Exterminatus as particularly rarely conducted. C. The Inquisitorial response to a Chaos incursion would depend on several factors, but sentencing people to trial by ordeal in the penal legions is perfectly reasonable, though it'd probably be more like step 3 or 4 after performing various purity checks, limited/targeted purges of those who fail, and possible mindscaping/mindwashing of those deemed borderline but not worth killing.
I hope this clarifies matters for you. Obviously this is our own interpretation of the 40k Lore, but it's served us well for several years now. You can of course find other contradictory takes but ultimately it's Greendoor's game, not say, David Annadale's, as cool as that may be.
Huh, now I wonder what it'd be like to have Josh Reynolds GM a game...
* As occurred in the largely lamentable Krieg novel, where the leader of the pro-Imperial Kriegan forces was confused at the rebels not being Chaos worshippers.
** Mind, this does occur in Yarrick: Imperial Creed with Yarrick just telling the Guardsmen the Daemons they're fighting are just Xenos. It was just lamely done. There are certainly Xenos alien out there enough to be confused for a Daemon (they aren't even the sole resident of the warp), but it should be reasonably obvious they're not natural.
*** The Sabbat War Anthology story, Nineteen-Three Coreward, Resolved, has this depicted as a common part of ship life aboard an Imperial pilgrimage vessel.
****There are of course various worlds with divergent beliefs, but not believing in at least some malign force broadly comparable to Chaos/Daemons would be a notable exception rather than the norm.