Rhinos are not Heavy Support, though. They are a Dedicated Transport which means they have to be allocated to one of your infantry units. The unit entries in the Codex will tell you which ones can legally take a Dedicated Transport.
To clarify, Dedicated Transports are bought basically as a unit upgrade. So while they are treated completely as a separate unit on the tabletop (including potentially being worth victory points depending on mission), they occupy the same Force Organisation slot as their parent unit.
So for example, a squad of Chaos Space Marines with a Rhino Dedicated Transport would, all together, only occupy one Troops slot on the Combined Arms Detachment chart.
What it means in game terms is that only the allocated squad can begin the game mounted in the transport. Over the course of the battle any unit can get in and out (depending on size rules like bulky, etc or the transport's maximum capacity). You could however, if you so wished, have the squad deploy outside their transport and have another unit get in on your first turn. Some people do this with Land Raiders, bought as Dedicated Transports for Terminators, to save Heavy Support slots for more Maulerfiends. They then Deep Strike the Terminators and embark a squad like Plasma Gun Havocs or assault-kitted Chosen like yours with a Chaos Lord attached into the Land Raider on their first turn.
Other than that, the list is fine. I like the single Lightning Claw and Bolt Pistol Chosen, it saves you a lot of points because while it's tempting to stack a gazillion upgrades on Chosen, there does come a point where their ability to fit into a Rhino is just overshadowed by Terminators' ability to do the same job in combat for cheaper.