Compendium 3 and the Citadel Journals for Spring 1986 & 1987 carried a comic strip with the adventures of Kaleb Daark, the follower of a fifth Chaos God, Malal. Citadel produced 3 figures from the strip, Kaleb himself and Helwud & Jaek, the Chaos Brothers.
So what became of Malal? Rumour has it that GW didn't hold the copyright, the artists and writers did. They and GW disagreed on the direction of the storyline and so the strip disappeared along with its God and Heroes.
The foot versions of the Chaos Brothers became Chaos Thugs but the mounted versions, their mounts and all versions of Kaleb were removed from the range.
Thanks for the prod Pete!