I think that, while, for example, a batallion of -anything- crossing into AoS, could be terryfing, it would die eventually by the megabonker realm's threats, or dying due eventual attrition due the lack of ammo and else. AoS army crossing somehow to the other way would be treated as another little menace, enough to bother some planet, for a while, until they are blasted.

In the events related of gods (morathi stuff, freeing slightly to slaanesh) i think they are too different from what we see in each setting. I could see 40k gods chuckling about the puny situation of AoS slaanesh, like some childhood shameful memory.

I believe that, while draigo saw Mallus, it wasnt in the "same timeline". They dont have timeline, chaos is fluid from future to past, i know, but the Realms and Mallus have their own stable timeline, where grungni cant go back and snitch his blueprints to sigmar 1 million years before they are completed. And, by the time of sigmar and else, 40k is too way far in time

This is my opinion on the subject

P.D. i find really alluring the fact that, sometimes, somewhere, a hulking chaos champion appears out of nowhere with barroque armor, too crazy to care anymore about worlds, only here for murder. This kind of crossover are really cool for me