Here you go:
Sometimes a Grey Knight encounter a particular daemon (often the one whose name the Knights name is based on) with which they form a special kind of antagonistic bond. They become each others nemesis.
The knight may in some cases take leave of the chapter and become a Questing Knight - sworn by oath to hunt down his nemesis or die trying.
Slay the dragon as it were, although princesses are seldom involved...
They're forbidden to rejoin the chapter until they've completed their quest. Such starfaring marines often join up with inquisitors who can help them with information and resources, as they're completely cut off from their chapter.