After reading both settings lore and looking at the overall picture.BreakfastMan said:
It boils down to me taking Warhamemr Fantasy more seriously, then Warhammer 40k.
And the fact that Warhammer Fantasy has more variety because most of 40k's relevent lore boils down to Imperium (mostly Space Marines) vs Chaos, with Orks being an amusing sideshow. Eldar may have some importance but the High Elves are way more active and relevent then the Eldar are.
In Fantasy although the Empire for all intents and purpose is the "protagonist" in the lore of Fantasy, they have way more relevent enemies than just Chaos and Orcs, they had Wars against the Vampire Counts and their undead minions, and the marauding Beastmen in their very forests and of course the Skaven beneath their very feet.
And that's also not factoring that the Dwarfs and High Elves are also relevent players in the lore.
And Warhammer Fantasy has much bigger variety of villain charcaters than 40k, most of 40ks famous ones are Chaos Lords.