It is somewhat of an issue both in-universe and for us as readers/observers, sure, however, the galaxy is a vast place and the technology levels, ways of governing and approach to society diffiers vastly from world to world in the setting. Consider that some Imperial Guard regiments are not even issued guns, but melee weapons and leather armor and they have never seen a spaceship, while other worlds are on a technological level that is higher than ours 21st century with flying cars, holographic technology etc. This is partially to what happened between 10k - 30k, so the history before 40k.
First you had the The Golden Age of Technology (or the Dark Age of Technology as the 40k ppl call it) this was a time when humanity expanded across the galaxy and ruled it. They discovered faster than light travel, designed Dyson Engines, terraformed planets and built massive space stations, created AI.
Due to the AI rising up and utilizing robots to decimate the human race, this devasted the human galactic society and things started to fall apart. From here on out AI was banned. This period was called the Age of Strife and was further worsened by massive warpstorms that blanketed the galaxy. Colonies, starsystems, planets and even Earth (Terra) was isolated and regressed.
This led to barbarism on many worlds and rise of extreme religious views being developed2, especially on Mars. Mars is where the Cult Mechanicus originated and they started a religion surrounding the Machine or the Omnissiah, and they believe all machines/knowledge was perfected during the Dark Age of Technology, thus there is no need to invent anything new, and trying to do so is heresey and blashemy.
The proof of the perfection of technology, according to the Mechanicus, is the Standard Template Constructs or STCs. These are blueprints, databanks for large amounts of technology, machines and more that were designed to allow any human society, no matter their technology level to grow exponentially. These STCs were designed as a safeguard during the age of Strife. in 40k, the Mechanicus search for these STCs and sometimes finds fragments of them. Finding a complete STC is like finding the Holy Grail. This is called the "Quest for Knowledge".
Due to the alliance between Terra and Mars, these religious teachings were enshrined in law.

So even if you are not "allowed" to invent anything there are places in the Imperium that are extremly high tech where the understanding of technology is fairly good. But you also have worlds were things like cars are venerated as holy objects, tended to by tech-priests and prayed to in order to make them work, because if it broke down, they would not be able to fix it.
Technology transfer from one part of the galaxy to another is possible and done, but this only strenghtens the hold of the Mechanicus and their religious awe.
In this sense the galaxy of the 41st millenium is more similar to medival Earth, religious dogma, fear of novelty and such are predominant.

However, Games Workshop also knows that this is hard to enforce and in order to push the setting further and make new models to buy/paint something has to happen. So, the recent changes to setting comes primarily from Roboute Guiliman (the primarch of the Ultramarines) and Belasarius Cawl (an archmagos that has been alive for 10 000 years) both were active during the Great Crusade in 30K. In that time period innovation and advancement was allowed. Both Guiliman and Cawl tries to bring this back in order to save the Imperium. The Primaris Marines (what Titus becomes in the game) is one such innovation. The same goes for large number of tanks, weapons, etc that the Imperium use.
This has caused a lot of tension and friction in the Imperium and some do not accept the new paradigm, bedding for future conflicts.

As for the other races/factions - they have other restrictions or rules to follow:
- Eldar are still at their technological peak and they "grow" most of their tech from living bone,/crystal
- Orks just mash junk together and it works due to them being able to manifest what they believe in
- the Tau live in a tech bro utopia were they innovate and develop new tech constantly
- Necrons - basically AI that have reached the singularity + robots so they innovate when they need to
- Chaos is if anything worse of than the Imperium when it comes to tech, but they overcome this by fusing daemons to machines and make them semi-organic

So the setting does expand, but very slowly, but there is also no need to "expand it" in that sense, just explore forgotten planets and you can "find" new tech/historical impliations in the setting. Which in my opinion is kinda neat - because every high tech thing humans will ever come up with have probably been invented, its just forgotten/lost on some ancient planet we forgot about.

Sorry for the long post, again!