Why do they look like oil-covered rust buckets?
The paint scheme represents a weathered, dilapitated look as the marine wearing the armour abandoned his former loyalty to whatever legion or chapter he hailed from. Subsequently, the paint of the armour was slowly scratched and worn away from countless battles, from exposure to weather and from exposure to the warp itself. The disrepair is limited to the appearance of the armour, the Marines still ensure that the suit itself is in working condition.
Who the heck is going to ally with these guys?
Unlike every other mysterious chapter, the Cursed Ones do not suffer from the problem of appearing at the begining of battle and dissappearing without a trace afterwards. The Cursed Ones are pirates and will fight with whomever meets their ends. In most situations, the help is welcomed either from a desire to cause as much damage as possible (Orcs, Dark Eldar, other Chaos, etc.) or from a lack of options and the shimmer of hope it offers (Forces of Order fighting over-whelming odds). With the countless hordes of daemons, Chaos legions, Renegade Chapters and such enemies of the Imperium, only the most puritanical of armies readily hunt down the Cursed Ones....generally, the Imperium has bigger fish to fry.