I'd like to think that one of their jobs might be protecting/punishing children, depending on whether they are nice/naughty.
That's getting near a line that's hard to play around - and would need a group of players who were comfortable with it. It's true to the source material, but some people would have a problem with a character who only protects "nice" children. "I save the nice kid from the burning building, but the other kids were naughty so I left them to fry" isn't quite what most people accept as heroic. As for punishing kids, a character doing that could wind up in real problem with the law. Someone going around and handing out small presents to nice kids while spanking naughty ones (which is something that the companions of Santa supposedly did) would attract serious police attention. Heck, a stranger handing out presents to random kids would probably get a lot of police attention.
Now if he's using powers - say sponsored magic to make it so that the nice kid skates across the finish line first while the naughty one slips on the ice and falls flat on his butt (maybe splitting his pants while he does it) - then I could see people not noticing the list of coincidences. Then again, he should leave a little signs to show people that they've been rewarded for being nice or smacked down for being naughty because if there's no link then people won't associate their behaviour with the consequences. Them not knowing kind of defeats the purpose of a rewards/punishments system.
The more I think of it, the more this concept would have problems with the law - at least if he told people who he was. Dresden calls himself a wizard and all the cops who hear that assume that he's some sort of con man - because why else would anyone call himself a wizard? That's because cops generally assume the worst about people (because they see it all too often). So if they hear about someone going around claiming to a special friend of Santa Claus they'll assume he's lying because he wants to trick children into trusting him and that just raises all sorts of red flags. And if he talks about punishing 'naughty children' then he might "trip and fall" a couple of times on his way to the holding cell.
On the flip side of it being a PC, an emissary of Santa Claus might be an interesting thing to have in the background of a city. If it's a major city with a million plus people then he's not going to have a huge impact. Say he interacts with 1 - 2 kids a day, call it 700 kids a year out a city of a million. If he stays in the poor neighbours then the authorities probably wouldn't be too involved (but various people might want to crack a cap into his ass). While not really important in the big picture he is the sort of thing that PCs would hear about. So they track the rumours of a man (or woman) who visits children and either gives them minor treats (candy, cheap toys - probably nothing over $5) or spanks them and discover someone with "Marked by Power" claiming to be an emissary of Saint Claus, someone who honestly believes that he/she is making a difference, then what do they do?
Do they take action to end the seemingly random beatings while trying to keep the heart lifting presents going?
Do they say "who cares about Aegis of Respect" and take the emissary out (opening themselves up to vengeance from the fairies)?
Do they try to work some sort of deal?
Do they report the madman to the police (taking the conflict nuclear)?
Do they let the gangs know about who is behind everything and stand back while they deal with "the freak going around spanking other people's kids" and then watch winter's revenge over the deed?
Do they shrug, decide that everyone is just getting what they deserve, and walk away?
Whatever they decide, I could see them getting something special at Christmas. Maybe a simple little magic item (if they helped the emissary) or a cursed item (if they hurt the emissary) or even a special visit from Santa.
I could see this going another way (especially this time of year) where there are stories spreading about "something special" in town and the PCs finding an overworked emissary rewarding nice kids, having a conversation with it, maybe even helping do it's job. Then they later discover that part two of the emissary's plan is to kidnap naughty kids and take them to the Nevernever as a punishment, or otherwise handout bad stuff. Bad stuff like the kid's house burning down, or giving them cancer, or handing out beatings. Bad stuff that they helped make possible when they helped the emissary dish out good stuff to nice kids.
This concept opens a huge number of doors and can be played countless ways. You could take it comic christmas movie style of the hapless emissary trying to make Christmas right. You could take it Dark Knight Returns style and have a vigilante handing out rewards and punishments according to a code that made sense in the dark ages (but not so much sense now). You could take it Average Joe living life his way, unless he uses his fae given powers then the sponsored magic demands he act as a servant of Santa. A "Touch by Angel" type going around rewarding the good.
It's always intriguing when something can be used in so many different ways.
Richard