Well, Khorne does through Khaine's influence in the Incubi shrines, and I'm sure he gets something out of the Wych cults. The political maneuvering and needlessly complex plots of everyone would feed Tzeentch. And the misery and despair of everyone who isn't in a position of power would be quite enjoyable to Nurgle
For the other part, I'm sure that a Dark Eldar who swears him/herself to a different god could eventually become "protected" from Slaanesh.
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"Let the vermin burn. We shall drink deep of their screams this night." Archon Farath Müre, High Archon of the Kabal of the Consuming Flame
(11/5/2013: A few things have been added to the Kabal's fluff, most notably shifting their base of operations into the Webway, sort of, and adding an alliance with the Alpha Legion, or at least a few heads of the hydra.)