Does not newer fluff makes them closet loyalists doing this " For the emperor"
Nobody really knows, as they do so much shit that they're literally working against themselves on daily basis. The best bet was that they were fragmented and split into loyalists and not loyalists, but new fluff seems to be a bit weird now, as both Alpharius and Omegon are supposedly dead... but still, the Janus theory is there and Grey Knights are basically almost confirmed to come from the Primarch (without specialities and stuff, so just really generic super-marine) geneseed stolen by Alpha legion for Horus, but Horus got fake one, so really... Alpha legion are the Schrödingers heretics, you never know if they're loyalist or heretic until you open the Rhino.
TBH, they could as well be just working for themselves, which seems like a pretty reasonable option.
Actually, how do torpedo explosions look in 40k? From rogue trader rulebook it seems, that plasmacharge is kind of default imperial torpedo payload, so explosions should be blue?
Depends. While the standard ones are indeed described as Plasmas, with the amount of standarization the Navy has, ships could be as well armed with anything from regular nuclear warheads to Melta torpedoes or Vortex ones that tear rifts into Warp.
How do voidshields look like on spaceships? How do they look, when they get hit?
In general - transcluent bubble, with hazing (similar to the effect hot air above roads has) effect. When hit they ripple and make a lot of pretty colours, with energy flares on more powerful hits.
The ship ones are more like teardrops and seem to be invisible indicating a better quality. The effect on hit is the same.