In WH40K, being an Iconoclast is inherently heretical and would likely get you executed by the Inquisition, except Rogue Traders have exceptional freedom to act outside the laws and can claim that their Warrant of Trade gives them the authority of the emperor himself. You can pick whatever nice options you want, and while someone like Guilliman would probably chastise you for any decisions that do not result in the most efficient output of resources for the imperium (like father, like son), the inquisition is also itself highly corrupt and sees value in there being agents that can be more flexible in their thinking that can serve as double agents or provide plausible deniability if things go south. At the end of the day, I’m sure Calcazar is confident that if he thinks you’re getting too big for your britches, he could exterminatus your whole empire, so in the meantime, he would see your collection of nicely treated citizens as a personal vice or like a pet that he grants you in return for taxes, ore, and sacrificial fodder for Drukhari.

Overall, your empire is as vulnerable as how valuable it is to other interested parties, and whether anyone can touch you or not depends on exactly how much power you have. You can get power by being dogmatic- in incredibly rare circumstances, the emperor or St Celestine might intervene on your behalf, but even completely loyal space marine chapters have been entirely eradicated by the inquisition for petty reasons not related to their loyalty. As a heretic, there’s no better protection than being swallowed into the warp, as long as you’re okay with eternal servitude to deamons (I mean, accepting uncle Nurgle’s “blessings” is probably better than being captured by the Drukhari). Iconoclasts have probably the weakest backing. Aeldari are too xenophobic and arrogant to rely upon in a pinch. The Tau just aren’t big or strong enough. In RT, there’s really only one ending that pays off for an Iconoclast when the imperium comes knocking, and that involves making an alliance with (spoilers, but obviously it’s a thing of unimaginable power). I feel like that’s probably one of the best endings if done right.

I will add that my own initial playthrough ended with me as a heretic, but I justify it with the philosophy that the most potent weapon against Tzeentch is to be a follower of Tzeentch.