Enter from where, precisely?
This is probably going to prove more controversial, but the "Imperium" might not necessarily care where they come from.
There's a tendency to look at an organization like the Imperium in monolithic terms with the Emperor at the top and the people at the bottom. However, given it is a feudal society, problems that can be handled by low level nobles would stay there; the Emperor neither has the time or resources to really look into everything.
In canon, nobles have committed various excesses. Now follows MTU-style conjecture, but I think there's many other nobles who do similar things but it never mushrooms to the point where it attracts the wrong kind of attention. Provided the nobles over you are satisfied everyone sort of overlooks small things that a given noble or nobles do in their fiefs.
Now these fiefs might cover an entire planet.
The noble administration of a world may have various reasons why prisoners end up in penal battalions all based on local law and custom with reasons ranging from political agitation, being unemployed/debtors, having the 'wrong' political or religious beliefs, or whatever. They'd be relatively inexpensive to train, could be passed off as "mercenaries" when fighting on a nearby world (or in-system, or even on the same world, especially on balkanized worlds).
They reason why they're "Imperial" when the purposes they're fighting for are probably purely local is that the nobles who deployed them are part of the Imperial power structure and technically act in the Emperor's name. Penal Battalions in this case certainly would
not be fighting with the Imperial Sunburst on their uniforms or claiming a nation in the "name of the Iridium Throne."
A 4-man fireteam equipped in battledress and armed with lasers and an FGMP is as lethal as a lower-tech tank platoon and has the added advantage of being able to enter buildings to fight. Equipped with IR/LI equipment, chameleon covers, RAM grenades and grav belts, it's a good deal more lethal than the typical low-tech tank platoon since it can be much more difficult to spot and can use cover and camouflage more effectively.
I won't argue any of that because that's true.
However, I personally don't believe that such high-tech is actually as easy to get a hold of or as common as is often presented. YMMV. I'm aware that such hardware, looking at game supplements is pretty cheap but I've always believed that's the price "players" pay for such gear, not everyone else. Players can actually visit some ideal "TL15 world with a low Law Level" or "getting cozy with the Scout supply sergeant" to get the gear they want.
A noble whose fief is a part of some TL5 world would have significantly more difficulty getting the goods in question, especially if noble doesn't have some ideal situation where he/she controls the entire world and gets "taxes" from the world's GDP. Trying to work within the constraints of the resources he or she has, perhaps calling in favors from the noble who sits next to him in the Moot who happens to have a fiefdom on a restive High-Population, High Law Level world one or two Jumps away leads to arrangements, the kind of back-room dealing that I'd think would be very common in a relatively diffuse, decentralized state like the Imperium.