Hey, don't knock it, he could be a Magos Militant
I dunno, I'm half tempted to make such a character now.
On the note of Army vs. Inquisitorial use... I doubt Inquisitors would have trouble finding a couple of bolters or power weapons. Finding ammunition for a bolter in great quantity wherever they are is a larger issue.
The big thing to remember though is that bolters and power swords are distinctive and notable weapons. Having one immediately marks you out, and is likely to ruin a lot of investigations, so that's an immediate reason not to carry one.
They're also heavy items that you wouldn't want to be carrying all the time. The wise Inquisitor would always be armed, but they'll only seldom need it. Who wants to carry around a bulky weapon on the less than 1% chance it will come in useful? A smaller, less powerful weapon will probably be fine, and it's a fraction of the bother to carry.
Also, carrying a bolt weapon would probably preclude you from carrying other firearms - so what do you do if you need to merely incapacitate the bugger who's running off? A bolter has no subtle setting - shoot someone and it'll be pretty fatal pretty promptly. (Mind you, nor can most guns be used subtly, but this is fiction, so we'll let that slide).
These aren't concerns to the soldier - extra lethality and lack of subtlety aren't a big deal, and in fact are pretty desirable, and the workings of the Departmento Munitorum deal with ammo supply neatly enough.
It's not that an Inquisitor couldn't have these things - to tell the truth, most probably do have a bolter or two in their personal armouries - but that they're unlikely to choose to carry them around on a regular basis.