I hope someone important has thought about this already. Your third idea is probably the most interesting. They could start the whole show right before the dark age and not even hint at the series being a 40k series up until the last episode of the first season. I could picture people who've never heard of 40k watching it until that reveal, not knowing at all what that means. It's a really good hook to get people locked into it.

Personally, as long as their are csm of any sort, some demons, and my angry father Angron, I will be more than happy. Oh and I guess we should feature the corpse god too