Having your soul devoured generally will mean being tortured forever and becoming a plaything for the daemons that reside in the warp. And not in a fun way, more like in the way a mouse becomes a cat’s plaything but unfathomably worse and also forever. Did I mention it’s forever?

Chaos gives curses just as often as it gives blessings. Look at plague marines for example: I’m not sure I’d consider a gaping maw in my abdomen or an eight foot long cluster of tentacles much of a boon. But the blessing is that your mind is now made of a bunch of maggots that somehow function as a brain so you don’t really care about the festering sores and putrid rolls of fat slowly bonding to your armour.

The possibility of immortality is, I believe, only made possible at your patron God’s whim (e.g. Lucius - every time he is killed he gets resurrected) or…still at your patron God’s whim by ascending to daemonhood. I suppose both of these things kind of protect your soul? But I would also guess that the moment Slaanesh is tired of Lucius’ antics s/he will dump his soul into the eternal pit of slavering daemons who will turn him into a violin made of pure sensation and play him with a bow strung from barbed wire. And daemonhood comes with its own set of restrictions like not being able to exist in the material realm without assistance.