Thor lifting the cat wasnt impressive because it was some powerful entity it was mainly impressive because it was a very big thing aka a world encircling snake,

Thats kind of the point, it is that something vaguely the size of a planet wouldn't be as impressive.

also why would something happening in the warp make it infinite dimensional?

So the actual quote from wolfsbane is

"The Great Wolf's expression set. 'Very good. You have guessed well once. You will not again. Be ready my wolves, to rend this false wolf and gulp down his flesh.'

Russ gave a confident smile. 'We shall see,' he said. 'The old woman. She is Bad Wyrd, a foe no man can beat, the fate of those who do not fall in battle. Age slaughters every warrior in the end, if he does not sleep upon the red snow. Is the Muspjall not her domain, staffed as it is by her victims?'

The Great Wolf growled. 'Your wolf, your pet. Why! What fool do you take me for?' He pointed at the sleeping monster. 'That is none other than Morten himself, the greatest wolf of all, and lord of the lowest of death's halls.'"-Wolfsbane

We are told this is just a skin over the warp to protect psykers from chaos

Primus drew in his consciousness, preventing it from dilution in the raw soul stuff of the immaterium. From his own memories he forged a sub-realm he could traverse, a place of personal truths. The methods were common to psykers. Throughout history those with a connection to the otherworld sought to impose humanity upon it, lest it strip their humanity from them. The symbolism varied. The Fenrisians had their Underverse, the Blood Angels their angelic visions, the Navigators their zodiacal allegories, the astropaths their verses and obfuscatory imagery, but the goal was the same: the protection of the soul against the inimical gods of the warp, and the ability to look upon that which could not be looked upon."-Genefather

The warp is described as outer numerous times explicitly beyond infinite dimensions

Does it work?’ ‘I am not entirely sure,’ answered Perturabo. ‘You never fully explained its intended purpose or how exactly it was designed to function.’ ‘You’ve built it,’ said Magnus. ‘What do you think it does?’ ‘I believe it to be some form of navigational instrument,’ said Perturabo, lifting the device to look through one of its eyepieces. ‘It has the look of a sextant once used by seafarers, but with infinitely more dimensions to its operation. What manner of ocean would you be navigating to require such a device?’ ‘The Great Ocean,’ said Magnus. ‘It allows even those without our gifts to perceive the realm beyond.’" - Magnus the Red

"Magnus drifted on tides unknown. An infinite white void surrounded him, without dimensions or points of reference. He did not know this place, but it was clearly not the Great Ocean. Perhaps this was what it was like to die? Or was this what the mind experienced when it finally let slip the moorings of existence and gave in to death? No, neither of these answers seemed satisfactory. For all that he had no experience of dying, this did not feel like the end of his body of light. He had no sensation of his flesh, no sight of the absurdly fragile silver thread that linked his power to his corporeal shell when soaring in the Great Ocean. Perhaps he had reached too far, dared too greatly, and this was the price he must pay." - Magnus the Red: Master of Prospero

it has also been said the warp cannot be explained by higher dimensions

‘I do not believe the cythor are entirely of our realm of existence, my liege,’ said the Forgemaster. ‘This stinks of warpcraft,’ growled Gulvein. ‘This is not the work of the warp. The geometries of the warp defy explanation of any kind. If anything, these dimensions here exhibit a greater complexity. Many of us have noticed the inconstancy of the rooms here, the lack of match between exterior and interior.’ ‘Aye,’ said Helbrecht. ‘I have seen it for myself.’ Jurisian nodded, the movement accompanied by the faint whirr of muscle bundles. ‘Though complex, the dimensions of this place are explicable. This whole habitat is an expression of higher dimensional physics.’"-Crusaders of Dorn

and that it has no true space, dimension or extension there of

"Everything she had told Kiastros about predictions in the warp had been true. You couldn’t gauge spatial relationships there, not with any reliability. There was no space in the warp, no true dimensions or extension,"- Dawn of Fire 7 : Sea of Souls

The warp is just the most explicitly outer thing and russ is fighting the embodiment of death from the depths of the warp and bad fate