There are consequences to what they do.
This is kind of what I was thinking. So far they've run afoul of; Pyaray, by destroying his avatar and The Whisperer; they commandeered a slave ship that happened to be owned by a high ranking member of the Cult of the Sword Rulers by killing the officers of the ship; the lover of the murderd Pan Tangian sorceress killed by her brother, the primary Deathbringer; the families of 2 Dakosian merchants, one whom was innocent of murder, the other an agent and harbourer of a Cult of Blue Assassins and his two children, a boy and a girl whom they've sent to the Deathbringers to be trained and indoctrinated (by convincing them that the Blue Assassins murdered their parents - when tehy find out the truth...), not to mention the Blue Assassins themselves and to top it off, the crew of another pirate ship whose Captain they murdered. I think I have more than enough enemies at present.
It seems to me like they've simply gone on a murder spree. Well, the profile of Chaos has just been raised significantly and that is something Chaos doesn't like (read the essays on the eternal struggle for more insight on that.Perhaps encourage your two murder-happy players to do the same).
Not really. However they probably could've resolved some of their encounters without killing everyone.
In such a situation, 'adjustments' occur, and this happens in the saga too. Other Lords of Chaos, like Arioch, will take a personal interest in these characters and send their own agents out to stop them. This means your characters will start facing agents who are as good as, if not better than, themselves - and who'll use similar tactics.
And how about Law? If there's a couple of rampant, murderous deathbringers on the loose then Law will also send its own powerful agents to stop them.
The Blue Assassins leader escaped via a couple of Runes, Barrier and Passing. He has marked them well.
This is actually an issue that has little to do with Choose Location. Its more how you start to control the power gamers' behaviour.
Yeah, I know. But their logic kind of makes sense. Perhaps when the Pan Tangian apothesises they'll see the light. Part of the problem too, is that AFAIK, I'm the only one who has actually read the saga, so they're unfamiliar with just how nasty the Lords of the Higher Realms can be!