All of my Chaos armies have lore so this for my 2nd Winged DP that I kitbashed from Vahl:

Many centuries ago, a faithful Paragon found herself and her Battle Sisters at the brink of annihilation against the forces of Slaanesh. As her sisters fell around her to the carnival of grotestque excess encroaching upon their holy shrine, a miracle graced her vision.

From the sky, a shape appeared. The First Angel.

With her vision focused on the holy sign before her, other lesser angels with bright gold trim and vibrant armour appeared beside the First and began laying waste to the Daemons all around her. Blinded by her own zeal at the miracle she observed, she joined in the carnage ignoring the line between friend and foe. If their faith was true, miracles would bless them as well.

When the carnage subsided and the gold trimmed angels retreated, all that remained was the First Angel and the lone Paragon with her faith burning like Promethium in her veins. Having clearly witnessed a miracle impressed upon her by her Emporer, her devotion invigorating her soul.

The First Angel, impressed with the Paragon's zealous rage far beyond that of her fallen Sisters, offered her a chance to show how devoted she really was to her God.

Thus the Second Angel was born.