1. If they could survive up there they would be ready for anything but to be honest that would be a challenge for Space Marines, let alone humans. Also the Penguins are better, more powerful psykers then most of your psykers, there would be a lot of questions over who was the familiar in that relationship, the penguin may just be using the human for its opposable thumbs
Seeing as they could just use telekinesis in lieu of thumbs, I think it would be more to keep an amusing pet around - the penguin can brag to the other wildlife about how it has tamed one of those oh so dangerous humans the other species are talking about.