Chaos represents the ultimate Evil, everything that is corrupt, hateful, or just plain wrong. Chaos definitely has a place in every 40k campaign, especially one dealing with the Inquisition. That said the threat of Chaos is most definitely a highly classified one, and not one that junior acolytes would known anything about! Indeed, exposure to Chaos, including too much knowledge of it, is definitely a shooting and burning offense. And that also applies to members of the Inquisition; yeah, that's you, the players. Only highly valued members of the august organization, ones that have proven their worth and their integrity (which you haven't) will be trusted with such terrible knowledge. Anyone else just gets a bullet and a one-way trip to the incinerator...or maybe just a mind-wipe if the exposure isn't deemed too great.

This means you'll know nothing of the Ruinous Powers or the existence of demons and other things from the other side. Oh, you know of the Immaterium of course, and the existence of psykers is well documented, but even in this age of religion and superstition there are few who have had first-hand contact with the supernatural. This might be a bit difficult to play out, since you as players have altogether too much knowledge about the setting, but try to act it out. Anyway, given your current employer you'll get ample opportunity to get to know more once we start playing...and then maybe the words 'there is Bliss in Ignorance' will take on additional meaning for you.