It's already been pointed out in the thread, but I think the first mistake anyone makes (and this includes some people actually writing for the WH40k line) is to take that universe as anything but the blackest of comedy. It used to be far more zany, as any trip through the archives of the early 80s would show you.
You take the unflinching militant fanaticism of a dark age mindset and put it in service to a mechanical god-king who survives on the daily sacrifice of the souls of countless innocents, and those are the GOOD guys. It borrows heavily from the Lovecraftian concept of a universe that is a harsh, unforgiving place where humanity's place is insignificant in the natural order of things. Only in this case, humanity rose to the occasion to fight endless swarms of alien beasts and otherworldly horrors, but in doing so have drifted so far from what it means to be human that it's ultimately futile.
A chaos death cult or Tyranid genestealer infestation on your homeworld sounds bad, but when the Imperium decides it's better to just nuke the entire world from orbit (it's the only way to be sure, right?) killing billions of its own citizens in the process, it's a race to the bottom to see who is really the most definitively evil out of the bunch.
The tactics of the game itself also don't make a whole lot of sense, as you've got space-faring races with powered armor and aircraft all piling out into convenient battlefields to duke it out in literal hand to hand combat. Missiles? Bombs? Orbital lasers? Well sure, we've got those, but I've got a power fist and a relic blade that need to feel ork blood!
I say all this as a person who is a big fan of the universe for all it's twisted, sardonic and ridiculous concepts, over the top art and flagrantly silly stories. It's fantasy with science fiction trappings, pure and simple, and for anyone who doesn't enjoy the game for all it's obvious lack of realism, I hope you're at least honest enough to apply that to other games you find so engaging.
It's one thing to simply not enjoy the look and feel of a universe, but to hold Warhammer 40k up as some singularly unbelievable setting is pretty humorous in itself.