There is this fact that the conquering of the galaxy wasn't meant to took eternity. So, when the war was over, Emperor had roles for his sons in his Imperium. Builders/architects, politicans, artist , crafters/techgeegs, diplomats, outright leaders, rumoured psyker for the golden throne, police force, psy... Practically 20 aspects needed to effectively run the Imperium and look for its wellfare.I have read both Thousand Sons and Prospero Burns... but the idea of Legions having a role still seems a little silly to me because didn't the Emperor create all the Legions equally to conquer the galaxy for humanity?