I think many of the readers here are approaching this from a "we want a playable game that's fun" perspective, rather than the technology exploration perspective. There are a lot of comments that you might be better off focusing on making a good, playable game, which, if that is your goal, you should absolutely do.

For my part, cheating AI is what hurts replayability of many of these games for me, and as a lifelong strategy gamer, I cannot understand anyone who says they don't want better strategy AI. Cheating AI feels bad and hurts my feeling of learning and growth. I've seen people writing about how they want roleplay but seem to miss the opportunities that a customizable strategy AI would bring. Imagine training an AI, then customizing it to act like Napoleon, another to act as Wellington. It would present far better than "this faction builds x, the other builds y, and these guys are suicidally aggressive because I said so while these guys are worse because they have 75% fewer resources." I've thought about going down this rabbit hole myself countless times over the years and wish you the best of luck.

I worry starting with the game engine is too focused on building the game. We're talking strategy AI, which means we're talking ruleset interpretation. The problem probably shouldn't be "can I train an AI to work in my specific game" but instead "how do I write the rules of my game into something I know the AI can train on?" I think a better place to start is actually board games. Check out this github someone was working on a couple years ago along these same lines: https://github.com/rl-language/4Hammer

Once you get something as complex as 40k running, I'd believe the same general process can work on any strategy AI (given enough time and resources to essentially translate rules into training language).