The Masque of Slaanesh was formally the most favoured of all the daemonettes. Her dances were the so beautiful and Dazzling that even gods would watch in awe. Slaanesh would often have her dance for him/her revelin in her displays. However during his most terrible defeat in the Great Game, when she danced for her Lady/Lord to try and ease their mood. It backfired. Slaanesh's humilation and rage at his loss was only inreased by her dance which he/she saw as subtle mockery. In a spontaneous bout of rage the Masque was forever cursed to dance for all eternity, going to where ever there is mass amount of excess causing her victims to dance to her whim and mood; leaving death, destruction, and the exhausted lucky few in her wake.
There appears to be no mention at all of the Masque in the Game.(damned shame I say)