Kitten sheepishly explains that following the Horus Heresy, the Custodes felt so much shame for failing to protect the Emperor that they "redefined" the use of their armor.
While wildly absurd, this episode is actually a brilliant nod to actual, classic Warhammer history. In the original first-edition Rogue Trader lore from the late 1980s, official artwork and text stated that the Custodes had indeed abandoned their armor and wore only capes and loincloths out of mourning and shame for failing the Emperor. Ep_s01e07_-_Message_to_the_Emperor
When forced by the Emperor to bring them in, the scene plays out as one of the most famous memes in the Warhammer 40k community: Kitten sheepishly explains that following the Horus Heresy,