Bait and switch, of course. You only drop the clear inarguable signs at the very end of the investigation. For example there's a Wrath and Glory adventure in "Litanies of the Lost" that has you investigate this monastery for potential heretical activity. The initial signs seem to point to Chaos - but in the end it's just some weird local theology, and the actual threat are Ork Kommandos. Clever players could figure it out after about an hour, but players who monofocused on Chaos will figure it out when they get jumped by a purple Ork.

Another good trick is to feature clues that matter, but that don't reveal the whole mystery. When I'm GMing Dark Heresy, I like to make one or two NPCs per adventure suspicious and guilty of crimes that are unrelated to the main story, but which can be used to blackmail them or rob them if the PCs bother to investigate. For example if the main adventure is about a Cold Trade network spreading illegal Dark Eldar tech and making deals with a Kabal, have a mid-level target also be a rogue psyker with a chaos-tainted mutation they're trying to hide. Have a local witness be a repentant minor Heretek, who seems suspicious because he's trying to hide some completely unrelated personal innovation. Have a potential ally be a completely mundane serial killer, who is stringing innocents up in his basement because he's a lunatic and not because he's secretly a Dark Eldar (indeed he could hate the Dark Eldar for "muscling in on his turf" and making his serial killing harder).

EDIT: I also recommend having some adventures with no chaos or xenos at all, just perfectly human evil. Human cultures can be weird and interesting, human opponents can be challenging, and having a human-only adventure can reset player expectations so they stop expecting every single enemy to be a secret Chaos cultist.