The best I've read so far on the 41st Millennium's Astartes pscyhology was in Assault on Black Reach. I imagine a similar peek might be found in Nick's subsequent space marine novel, "Salamander".
As to the OP, the answer is "yes, they might". If a Grey Knight commander felt that there was a chance that the loyal forces alongside which they were fighting might have been corrupted by their exposure, then they would annihilate them without a second thought. That doesn't mean that it would be done as a matter of course. Humans who not only survive a daemonic incursion but who are victorious in the face of such horrors,
and retain their fragile sanity are rare and valuable resources, likely to be of interest to the Inquisition. As a result, they are more likely to be inducted into the Inquisitorial Storm Troopers and sent into battle against more such hordes.
Note, however, that this isn't to "protect the Grey Knights". It's to protect the Imperium and the souls of those they kill.
Does anyone think that maybe if all but the space marines and guard were left that the marines would kill off all the guard as the are not worthy???
You're going to have to work on this sentence before it will make sense and I can answer it.
R.