Look at this nerd, painting their miniatures (I kid).

I'm under no illusions that my spiky space elves are not the good guys. They are hyper-individualist anti-buddhists, completely unable to see any interaction as anything other than a zero-sum game and have discovered that by feeding off the suffering of others they can live forever.

I think you can actually do philosophically interesting things with 40k, but usually it's just fanfic level fash-worship and glory (ironically or usually not).

I also think that the format of 40k, wherein you build and paint your army and then competitively duke it out with other players, lends itself to identifying with your army and seeking out your "clan" in a way that MtG or RPGs does not. Certainly some players in MtG will identify with a particular deck or build, but the game doesn't connect you with the lore of the cards you're using in the same way. I remember being a Dark Eldar player before 2009 (when the DE reboot happened), there was a level of camaraderie between Dark Eldar players as the unloved sons of GW in a way that I don't think existed for, say, green-black players in MtG.

Combined with the overtly fascist imagery of "the good guys", means that you wind up with a lot of unironic Imperium stans talking to a lot of other unironic Imperium stans. Obviously for GW, this is good business as they can sell lots of merch and miniatures.