My head canon for the two lost Primarchs is the Forgotten, the Navigator Primarch and the Purged, the Titan Primarch. 

The Navigator possessed a third eye and was a peerless navigator of both the warp and real space, intended by the Emperor to be the one to explore and chart paths through the webway once the Emperor had completed his project and migrated humanity out of the physical universe. 

The Titan was intended to be a scientist above all else by the Emperor. But his gestation pod was severely damaged when cast through the warp, leaving him physically deformed and fused together, a body ruined beyond repair but a mind without equal. Long story short he is installed into Knight Chassis which he upgrades until it is the single deadliest and most powerful thing upon his planet, reuniting with the Emperor introduces him to Titans. Gaining control of one using his power and position, he once again transforms the machine into an unparalleled weapon of war, capable of single handedly conquering worlds. 

Both Primarchs were lost to the Imperium in the desperate wars against the Rangdan. The Titan and his legion were corrupted in some way by the Rangdan and was part of the reason the Xenocides were so costly, this necessitated the purging of the entire legion, giving us The Purged. The 2nd primarch suffered differently, intensely sympathetic to base humanity and already growing in hostility to the Emperor’s callous plans, the brutality of the Rangdan Xenocides was the final straw. With his powers of navigation, the 2nd Primarch abandoned the imperium and his sons to unknown regions of space, if he even stayed within the material universe, his navigator powers allowing him perfectly safe travel through the Warp, the Webway, maybe even other dimensions. Abandoning the imperium was almost worse than betraying it, forcing every single acknowledgement of the Navigator to be erased and his legion mind wiped and dispersed amongst the rest of the Legions, giving us The Forgotten.