There isn't much to know about the series other than the main guy got accused of heresy and has to work his way back up the chain. They'll probably explain that at the beginning of the game as a lore dump. As for Warhammer 40k - everything sucks, humanity was meant for great things but weren't prepared for what was out in the galaxy and beyond. A civil war happened, turned out that demons are real and they don't like the ruler of humanity that much (who basically rivals their power). Dude got stabbed, is now in a huge immovable wheelchair that supports his body, but still tries to save humanity.

That all happened 10k years ago and everything sucks even more. There is no technological improvement - tech is barely maintained by a bunch of ritualistic fanatics that don't know why it works or doesn't, they just burn a bunch of incense, pray to it a lot and press control alt delete because it's all part of the ritual. Humanity fights like 15 evil factions at all times, but humanity is evil too. Space marines would be great to fight the wars if there was enough of them for it - there is basically a couple thousand marines for millions of worlds.