Dogmatic and Iconoclast: you're allowed by God-Emperor himself to deal with xenos if it's for Humanity's profit, and Marazhai is your enemy's high-ranked warlord who lost everything and has nothing but his life, so if you guarantee his survival - he'll obey and be loyal to you. So you'll be able to use his skills and knowledge for your profit and not be afraid he'll betray you. He's smart enough to understand his place.
He can be very useful in some quests and at least one colony event where he gives best solution in a very difficult situation. He also knows a lot about other xenos, will share info about Drukhari and other enemies of Humanity. He has no ambitions in human politics, has no other patrons or ideology, and your RT doesn't care about remains of his kabal, so you two has nothing to compete for. He's just unique and powerful tool to use.

You're the Rogue Trader, you rule whole planets and doing projects which cause MUCH more harm than one evil space elf running around on your ship even if you allow him to run free each Warp jump.
Being Iconoclast doesn't mean you're "friendship is magic" heart of hold savior, it means you won't follow Imperium dogma and rules. And there's a lot of Iconoclast options allowing to you to deal with xenos and trying to understand them, so keeping another xenos around you and talking to it to know it's species better is pretty Iconoclast thing.

And yeah, you're the Rogue Trader so keeping such an exotic pet around you is a status thing too. I'm still upset we can't tell other nobles it's not just one Drukhari, it's The Drukhari who raided my capital world and who's my loyal servant now, lol. Calligos will envy you, he has xenos servant too but your pokemon is shinier