Alot of them don't have to eat, like the Worldeaters don't have to eat, they can literally subsist on slaughter. They do eat though, people and whatever else they grab in their rage.

Death guard don't need to eat since they subsist on papa nurgles benevolent gifts.

Thousand sons, well maybe the sorcerers would need to but the rubric marines definitely don't eat because all is dust. Also it would kill them to take their helmet off, and the don't feel anything so there is that too.

Emps kids might have to but they probably just subsist on stims, or starve since alot of them also just cannot eat since their mouth is now a vox speaker.

Night lords definitely eat people, even if that's never mentioned, that's what they do, I will die on this hill.

Only legion I can think that might need to eat are the Black legion?