I do not understand all these people who claim 40k is supposedly so complex it cannot be made into film. It is very large, true, but it has a very simple premise and, provided one does not delve into everything like DC like to do, one can make a very strong movie out of it. After all, dark and gritty and edgy are all the rage now.
Here's my suggestion:
1) The setting will be a hive world. It is large enough to explore 40k's verse and yet small enough to avoid unnecessary exposition. Also it is very easy to access (unlike feudal words or say Space Marine homeworlds, hive worlds are not hat different from real life) and encapsulate 40k's themes pretty well.
2) The main characters will be an Inquisitor and her retinue, allowing us to see a lot of iconic Imperial factions without devoting too much time to them. A Techpriest, a Sister, a Psyker maybe, and of course a Space Marine.
3) However the protagonist will be some guy from the hive world itself, probably some Aladdin-esque homeless teenager, that gets to help the Inquisition, perhaps with his knowledge of the hive city, and eventually rises up to become an acolyte.
4) The techpriest will be comic relief (BEHOLD, O SACRED TOASTER), the Sister and the Space Marine are action heroes, though they could get their share of humour due to being always serious. (Also, feminists collectively wet their panties) The Inquisitor will provide exposition when needed.
5) The main villain probably won't be Chaos, they are bit too high fantasy to be introduced right away. A Genestealer cult could work much better and they could provide some basis for a detective plot.
6) Overall, it would be shown how dark and ignorant many of the characters are. It could serve to show contrast between the more level-headed Inquisitor and the superstitious Hive Boy, who will talk about angels and dæmons and witchcraft constantly.