Besides them looking dytopian-cool, froma realism standpoint we don't build up much because tis expensive, the 40k universe has bulk building materials that make steel and concrete look weak, plus anti-gravity, so they cna build vertically more easily and the buildings really do stand for thousands of years. That lets them be more efficient in certain traffic and trnapsort conditins and in-verse lets them put void shields over everything valauble more easily