[@Jbcool][@Klomster][@BCTheEntity]

Well, if everyone absolutely must know, and wants to spoil the surprise, the true source of Urgruggs unique abilities lay within his very DNA. I can elaborate, but again, that would be telling.

As far as bad things not happening when he uses psyker abilities... that's exactly why I asked [@Jbcool] what source we're using to take precedence. Like I've mentioned, a great deal of what I know about the setting comes from the tabletop game and the associated codexes. Generally speaking, the only time anything bad happens to a psyker while manifesting is if he draws on too much power to cast a spell. Both spells he's used are relatively easy to cast, with a very low chance of anything bad happening. I've never used any system where psykers had potential to cause other issues. Going forward, I can work that in, but from what I can find it's generally not common, and most of the side effects are largely irrelevant. Creepy, sure, but they'd have no real impact on what occurs.

In the context of the setting, nothing bad has happened to him because he's a powerful, experienced, and largely unchallenged psyker attempting to use spells he's cast hundreds of times before. The important thing to keep in mind about him is that he's more like a chaos sorcerer than he is anything. He no longer has a connection to the Waaagh, he's just a powerful psyker who's made deals with any number of daemons to increase his powers further. Psykers manifest powers all the time, with generally little issue, so long as they have proper training. That's how astropaths are able to use their powers to reliably guide people through the warp, and how librarians or the like, despite useing psyker abilities on a very frequent basis, live for hundreds to thousands of years.

To put it in a more meta perspective:
He's the only psyker in the group. We're facing the imperium, tyranids, other chaos factions, and apparently even eldar. Urgrugg isn't meant to be so much a marry-sue who's just better than everyone else, so much as he's an easily manipulated tool who just wants to please his gods... by fighting. His defining attribute as a character is that he represents a great deal of power to anyone who can control him. Yes, compared to others in the group, he's on a different level in terms of potential for raw destruction, but that's just because he'll have to stand as their only defense against things with similar powers. To quote a favorite novel, 'If they're doing their job right, you'll never know that a wizard took part in a battle. However, when one side waivers, the enemy will know pain like no other.'
Really, [@BCTheEntity] had it right. Psykers, in general, are just more powerful when compared to non-psyker equivalents. From an in-universe perspective, the only thing that gives others a chance against them is technology, and surprise.
Though, to be fair, killing him would be a simple matter of sneaking up behind him and blowing his head off with a melta gun. Any given power weapon with a blade could also be used, just take his head off with a good, swift swing and don't put it back on.