From what I gathered in the old fluff (1st and 2nd edition), back when fantasy was a world in the
40k universe, completely encased by warp storms, the two lost primarchs both landed on this world (hence the twin tailed comet). One became sigmar, the other became whoever it was that it ended up beating the snot out of when defeating chaos (once agian, old fluff here, thats kinda hard to track down now).
Scrubbed fromrecords because if it were to instead say "not found" it implies some fallibility on the part of the emperor, which is of course impossible...