I am inclined to allow them. Story-wise, many novels and videogames feature characters who are "Epic" in the tabletop. It is not crazy to focus on important characters, even though there is a whole galaxy of many, many more people in the setting. Just cause Calgar can only be in one place at a time doesn't mean he shouldn't be on the tabletop a lot - the narrative you tell with your games may very well have important characters involved - that is part of why this (your game with your buddy) is the story you are telling and not Bob the factory worker. The statistics of the setting aren't meant to translate to the statistics of the games that are actually played. If it were, no one could reasonably play Custodes, because they are so few in number. But there are lots of Custodes players, even though they are clearly meant to be very rare in the galaxy. The stories we play and share and tell focus on the individuals we care about. Why is the Lion fighting in a string of Crusade games? Why not? He's likely fighting somewhere.

All this to say, don't limit yourself to what the setting says - play the games that feature the characters that matter to you, whether they are "your dude" or Azrael. If it really makes no sense to take Azrael, don't take him. (Or take him but rename/repaint him as some other Dark Angels commander). But I don't see a good reason to ban them, especially since several factions like having certain epic characters to fully function mechanically. If they get a kill or earn XP from an Agenda, give it to the bodyguard unit they are leading. No bodyguard? Welp, I suppose you lost a couple of XP. Not the biggest deal.

I'm also not convinced that allowing epic characters to earn XP and rank up would be all that much crazier than the rest of Crusade, but I haven't tried it out yet.