Oh yeah, it certainly makes sense for a human to enslave a Kroot if they think they're resourceful enough. If I may make a suggestion, though, humans have more tendency to kill aliens than enslave them. What DOES collect a lot of slaves, however, are Dark Eldar. If you were to have her be an escapee from a Dark Eldar ship/camp/party/cabal/whatever, it could give Glory common ground enough to make her more ready to accept her. It would give her less reason to distrust humans, and also connect to her diet, since Dark Eldar like to prey on the non-tainted Eldar when they find them. Just offering a suggestion.
Either way, character sounds like a good'un, man.
Swight, I'd say procuring some form of welding mask/goggles might be the way to go for him. And while he's not grotesquely different from a normal human, he's still obviously a mutant. His cowering before the light will also likely be taken by any Emperor-fearing human as a physical manifestation of his corruption. After all, anyone who withers in the light of the Emperor is impure. >=D
Also, one doesn't generally "obtain" sanctioning. Sanctioning is given out by one organization alone, and that's the Inquisition. It's an absolutely excruciating procedure, and you're not guaranteed to survive it. You'd have to show promise of a degree to not be sacrificed to the Emperor, and even if you were sanctioned you'd have to serve the rest of your days as a tool of the Imperium. Swight, being a mutant, would likely not be sanctioned. Drea could, but a Kroot can't really be sanctioned because, well, the Imperium isn't fond of aliens at all. >.> So really, the party should just hope they don't run into any vindictive inquisitors.
EDIT: As a final note, I'd like to reiterate for our new players that this is a very dangerous universe to be a part of. Whatever race you come from, be you prolific as orks or humans, or as limited as the Eldar, you are still but a number. One ultimately meaningless individual among countless others who all are just as much in danger as you, most times. You humans will face the ire of most alien races for the Imperium of Man's xenophobia, and will be targeted by the servants of Chaos for being part of the God Emperor's legacy. You mutants will be hated or mistrusted by all. Aliens face hatred from the Imperium and Chaos alike. Psychic manifestations don't make it any better, in any case.
In short, lots of things out there want to kill you. And many of these things are packing some serious heat, or hopelessly outmatch you. There are a lot of ways to die in 40K, and you may experience them if you aren't smart. There is no guarantee that your character will survive the story, but I don't want you to think I'm out to kill you. I'm just saying that in the event that, say, you have your character charge a line of Chaos Space Marines, they're going to be blown to chunks by bolter rounds. If your psyker angers an inquisitor or someone else not fond of their sort, expect to be attacked. But basically, don't do anything terribly unwise, and you don't have anything to fear.