Too much unexplored territory. How do they wage war on aquatic worlds? Would be kind of neat ta see try dat!
(not just because I'm a pirate)

I forget where, but scuba diving terminators have been mentioned.

There's a story about Space Wolves attacking an underwater Tau installation using Land Raiders and Terminators.

Prices.

And the fact that Chaos hasn't won yet. We all know it's going to end in GG Chaos, but GW won't end it already!

The current treatment of the lore. Ignoring the established stuff, then adamantly sticking with the new stuff, no matter how moronic it might be.

Dey kan ill afford another End Timez debacle!

They retconned it already with Age of Sigmar, most of the dead characters are alive now.

Marneus Augustus Calgar, simply MAC daddy.
New Nekrons codex.
Eldar race as punchbag.
Matt Ward.

WOT!?!???!!! When did dis happen!?

Changing me navel complaint (even though scubinators makez me happy) ta GW.

I think the Imperial Government being so incompetent is the most realistic thing about 40K! The bigger the government the more corrupt and ineffectual it is (plenty of real world examples)!

I think it is still around because of the ruthless use of force and the fact that most worlds that are able to break free of the Imperium typically fall to something just as bad as big government (Chaos, Dark Eldar, Orks, etc).