Warhammer Fantasy is different from Warhammer 40k, but it's pretty much just a piss take on how horrific and shitty sword and sorcery fantasy worlds really are, cutting away all the anachronistic romance and replacing it with horror and filth. It's basically satirizing fantasy monarchist apologia and romanticism in the same way 40K directs that towards fashy sci-fi.

Neither setting does a particularly good job with the satire though, imo, to the point that I'd almost say 40K is more "what if Judge Dredd went back into space and we took this to a whole new level of silly? Like we could do a Judge Dredd/Dune crossover with like elves and shit, lmao," than it is even the sort of tepid and still-brainwormed satire that Judge Dredd was.