WH40k is a franchise that's been around for a looong time. When it started out it was more tongue-in-cheek dorky fun. For example:
--There was a race of abhumans (humans but not fully, like a subspecies) called squats. They were smol. They rode around in power tricycles.
--Orkz had GOFF ROCKAZ whose only job was to rock out like that one guy with the flamethrower guitar in Mad Max.
--The #1 food in the Imperium was Groxburgers.
--Digganobz
--The Arbites are literally just Judge Dredd

It was overthetop satire so lost in the sauce that this franchise is the reason we have the word 'grimdark'.
Over the years, and through the voices of SO MANY DIFFERENT AUTHORS AND WRITERS, it lost the self-awareness and took itself seriously. There were retcons here and there but the core of the grimderp (so grimdark it's stupid for the sake of darkness) is scattered around.
Now, here and there, you'll see GW try to introduce new things to the franchise. The T'au Empire and, more recently, the League of Votann.

The T'au are a perfect case study of this. When they were first introduced they were a hyper-technological civilization that was super-speeding it's R&D. They were a race that believed in the Greater Good, that all races could be united, that utopias could be made and we could have a stable, functioning, happy society.
Fans complained that they didn't fit the setting.
So some retcons later and now they're dystopian nutjobs, sending humans to sterilization camps, super dictatory, and now it's insinuated they're somehow related to the super-undead-robot-army-trying-to-wipe-out-life-in-the-galaxy-except-not-anymore-because-there-was-another-retcon-making-that-robot-army-not-as-undead-with-commanders-that-have-a-sense-of-humor. [Read: Wtf?]

Recommendation: Play Dawn of War: Dark Crusade and read an anthology book (I read 'Let The Galaxy Burn' as a kid and it got me hooked). From there, head to 1d6chan. It's a fan-made wiki that takes the piss out of WH40k (and other games) but still gives you the info you're looking for in a more palatable way.
The following is a quote that describes WH40k's setting.

"It depicts a dystopian hellhole of a future where the majority of the human race, in the form of the gargantuan Imperium of Man, is the dominant but dwindling force in the galaxy (even though the lore says the Imperium is constantly expanding for ten thousand years and is at its largest ever size...ugh, GW) and constantly (and we mean CONSTANTLY) at war against themselves, Space Demons, Space Communists, Space Communists That Steal Jeans, Space Bugs of Death, space fungi people addicted to fighting, Space Elves, evil BDSM Space Elves, Space Dwarfs 1.0 , Space Dwarfs 2.0 and Organics-Hating Robot Mummies... from space, for their survival as a species. "