More like as marked/chosen are to the chaos gods, Saints are to the Emperor. Saints are born as humans, daemons are completely extradimensional matter given form by nightmares and emotional termoil.
In first ed the Sensei were explicitely said to bear 'the mark of the star child', a direct equivilant to 'the mark of khorne/slaanesh/etc", the star child being the Emperor's soul that fled his body to hide in the warp. When 2nd ed cut Sensei (probably for being the bastard son of Highlander and Star Wars) but fleshed out the Sisters of Battle it took a while for Saints to pop up in more detail in 3rd ed and the release of Inquisitor, which detailed the Thorian faction of the Inquisition that believe certain people can be empowered by the Emperor's absent spirit and through studying these people a method for reincarnating the Emperor in a new body could be discovered.
The comic story Daemonifuge also went into Sisters of Battle and oddly empowered servants of the Emperor.