Covert anthropological research would be a major feature of the Third Imperium. Many of the things the Imperium forbids from slavery to psionics are fairly easily hidden. And since many worlds of the Imperium practice things disdained like religious passion and democracy it can become even harder to find certain things. After all, if you know you are seen as inferior trash, you tend to clam up and become uncooperative.
Beyond the actually illegal the Imperium has a real interest in knowing what's going on in its worlds. On one world, conquered by Vargr during the Long Night, humans were serfs on their own world for millennia. The Vargr were famous for the refinement of their culture and their impassioned embrace of the arts. They were also famous for the coldness and cruelty of their caste system and their tendency to go right to the edge of Imperial prohibitions. Their fellow nobles, having more sympathy for nobles than serfs, colluded with the oppression. One serf, a eunuch working in the planetary medical system (all humans with higher than normal intelligence were surgically desexed) managed to get his hands on
the distemper virus and shattered the culture. Once the humans eliminated the local Vargr and erased the entire cultural heritage of the local Vargr, they accepted imperial rule but demanded to be left alone. The fallout of this revolution still poisons Imperial Vargr relations and feeds the paranoia of the local nobility.
No one in the imperial bureaucracy wants a repeat of that disaster. Thus covert anthropologists go forth to get the data on a thousand worlds to give the Imperium warning.