1.) Psykers turn into impromptu daemon-portals on accident, and those are weak ones. It wouldn't be hard to do on purpose.

2.) Urgrugg is quite powerful, in terms of sheer volume of warp energy he can channel.

3.) He's an ork. If he has reason to think he's going to die, he's going to go out fighting, preferably on his own terms.

Add those things together, and what do you get? Someone with means to open a big hole into the warp, send a giant neon "Come Eat Here" sign into it, and reason to do so.

A new warp storm, it would not be. An open invitation for any daemons hanging around this section of the warp (the section with a giant space-battle happening around it, thus huge emotional turmoil) to come running for the chance to dig in? Oh yea.

[@Sophrus] It's not a threat to keep him around. I've already said, if JB wants him dead, just do it. That's just what happens when a Chaos Sorcerer is stuck behind enemy lines, with no allies around, and sees his impending doom coming. He goes out with a great, big BANG.