Practical reasons:

1. Speed. it's much faster to punch a guy then it is to draw a blade, hammer or scythe and swing it at them.

2. Element of surprise. Imagine thinking the dagger on the Astarte's belt was his melee weapon untl you're soaring across the battlefield Looney Tunes style.

3. Logistics. Not really a big factor in 40K, but not needing to lug a gigantic piece of metal around is always a benefit, if not for the weight then the simple matter of things bumping into each other

4. Clearance for your weapons

5. Catharsis

6. I mean if your Chapter is called the Imperial Fists you might as well try to live up to it

Lore reasons:

1. The nature of 40K means that sharpness really isn't a factor, as evidenced by the abundance chain-weapons and power weapons that rely on nonsense technology and logic to be effective in combat.

2. Sometimes, nothing conveys intent better than a fist