Warhammer 40000 is, of course, a wargame. Which means that a lot of the religion world-building in the Ciaphas Cain books can't be attributed to Sandy Mitchell. And being a game, they want to set out lots of options for the sort of campaigns and characters the gamers want to play, which encourages thinking on a large scale.
OTOH, merely being a campaign setting doesn't necessarily encourage good world-building, just good for playing. On the contrary. I have told people whose stories I critted "I can hear dice rolling." Many D&D settings, for instance, have such absurdities as the characters worshipping only one god, with a limited sphere of influence, when they have wider interests.
So, the Warhammer religion as depicted here has its interesting points.
I particularly note that in this one, the profanity is plausible. "Golden Throne" "warped" "Chaos" are thrown about in a manner plausible to the setting and sound like real profanity and fit into the dialog.
And the books don't get into any more theology than is plausible for the characters. What we get rather more of is what is needed for the story, namely the whole elaborate religion of the Imperium. You can see where the stuff was ripped off from the real world, if you know enough, but they've filed off the serial number and engraved their own. Furthermore, it all fits together. The whole eccelestical structure. The Orders of Battle Sisters -- a whole proliferation of orders, with minor ones splitting off major ones. The Inquisition -- which does have an advantage for our sympathies. When they hunt heretics, they hunt Chaos-worshiping cults that summon horrific demons, and wreak slaughter and large-scale vandalism. When they hunt aliens, it means generally hunting mass-murdering races. The tau seem to get treated a little rough, but when you are dealing with tyranids which descend on human worlds for biomass, or every plant, animal, man, woman, little child, baby they can devour, or orks that wreak havoc and slaughter for the fun of it, or necrons that just seemed programmed to slaughter.
Did I mention last time it's a very dark world? Sure, Cain's attitude, whether posed for or real, lightens it, but it's still a dark world. Probably should have mentioned that last time.