Indeed, regular daemons and those who rise to daemonhood become apart of chaos. Only very few things can kill them permanently, when slain by lesser means the daemons just return to the realms of chaos.
With AoS, the playing field has been balanced somewhat with the Stormcasts, Seraphon and Nagash becoming the god of death. Now there are four armies that are hard to keep dead, though the stormcasts are still in danger of having their souls devoured by daemons.