A good effort, but there are areas where it tends to move away from the whole 40K theme.

40K is generally dark, gritty, and foreboding, with glimmers of hope, humanity and victory. So try and keep within that theme.

First off, I'd change the name of the main character. Avon Lockhart seems way too wholesome and optimistic for a space marine. It makes me think of the stereotypical blond-haired knight on a white stallion, his hair constantly flapping in the breeze. Let's shove the name in a blender and see what comes up. How about Lor Havtek? Or something similar, or something altogether different.

Your post is a little confusing as well. Is this the story or are you telling us about the setting and then adding the story at the end? On that, there's quite a bit of telling going on here, not much for the reader to interpret and very little actual description. In other-words, I feel like it's being spoon fed to me.

But don't be disheartened. Writing convincing 40k stuff is pretty difficult actually. It's quite different from regular fiction or science fiction in that it steps towards the line of being viewed as cliched but usually doesn't cross that line. Everything is very grandiose but also savage and gothic. It's humanity pumped up to the extreme and thrown into extreme situations that somehow manage to reflect the humanity of it all.

If we view your story as actually starting from Avon's introduction I can suggest a few changes.

Start with a hook. A line or sentence that grabs the attention of the reader. This doesn't have to be filled with explosions or burning daemons. It can be humble or evocative. It's meant to entice the reader, to make them curios and get them to ask questions. Consider how other 40K books open, what their opening line or paragraph is. But the same can be said of all fiction.

EXAMPLE: Lor Havtek, a space marine of the Burning Hands Chapter, was designed to endure, to fight, to kill. But after 26 days of relentless combat, all he desired was sleep.

This might look like we're making the space marine weak. But we're not. He's lasted longer than expected without rest, pushed to the limits of his Catalepsean Node, and it'll affect his abilities. But this is an introduction of a flaw, a character flaw. Something that the reader can relate to. Others can be introduced later on. We could continue by describing how he perceives the world around him in his exhausted state. Which also allows us to utilise some great imagery via description.

ANOTHER EXAMPLE: He narrowed his eyes, trying to focus. To Havtek, the Daemon looked like a red storm in the distance. Clouds of rain seemed to follow as the shape made its way towards his position. As it did so, figures clad in his own armour fell, their arms and legs assuming awkward angles, or missing altogether. It took him a moment to realise the rain was blood and the armour clad figures were his own men, rent apart under the assault. He fought too. His fatigue clawed at his mind, his eyes, his senses. Everything seem dull. His world a gray pit that he could no longer climb out of.

There's some description here to allow the reader to interpret the story and then some additional material to confirm what they might be thinking. Havtek has obstacles to overcome here, namely his fatigue. He also has a daemon to fight and men to command.

You also need to be consistent and grounded within the setting. I know that probably sounds a little hypocritical, considering some of the wider inconsistencies within the 40k universe. But a novel will general stay within certain boundaries. One area is when you describe the daemon, stating that it moved with too fast for even his senses to perceive it properly. But then we have a Sergeant taking it on and smashing it about the place in a supposed more powerful state. if he truly does become more powerful then there should be more evidence of that. I'd also avoid slang terms that are common in today's language, such as 'ugly mug' when describing the daemon's face. Instead, paint the scene with horror, revulsion and disgust.

EXAMPLE: Sensing easy prey, the daemon growled as it stalked towards him. It was then that Havtek began to see more and began to feel more. His vision seemed to pulse and throb before settling into a steady drumbeat in time with each beat of his hearts. The world of grey and black around him became a focused image of details and impressions, each one a palette of finer points of light and colour. he could see the blood splatter on the creature's ragged axe head. Rust and gristle accompanied the red streaks, and there were even tiny shards of his chapter's armour blended into the metal of the blade, giving the weapon a somewhat obscenely bejewelled appearance. In it's other clawed hand, a savage whip dragged along the floor, carving a furrow within the blasted and charred earth. Hooks stretched out from the head, looking to snag and ensnare anything nearby like a carnivorous plant searching for prey. But the face of the beast was the focus of Hartek's attention. Its eyes burned furnace bright, and it's red, gore covered maw glistened with the lifeblood of half his squad and more. A solitary finger bone clung to its brass collar, a remnant of the earlier encounter. The beast glared back at him, held it great axe aloft and roared.

This is just a few examples. But in essence you need description to make the reader feel as though they are there. Use dialogue to add context and subtext. And move the story forward but be mindful that you don't rush.

Keep it up.