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Maybe he never had an Empress because an Empress would be a weak link. He's the incredibly powerful Emperor of Mankind. If he falls in love with some woman, she's going to be a target, whether for kidnapping or assassination. If he's willing to sacrifice so much to guide humanity, I can't see that he wouldn't be willing to sacrifice love, too.

And if he doesn't love her, then why would he make her the Empress, and not just some concubine?

I suspect, however, that given his insanely long lifespan, he has probably had more than a few wives (wasn't he Winston Churchill?), and simply doesn't feel the need for that after thousands of years.

Empress:"Remember Honey, you have to be home by 8 so we can repaint the den."

Big E:"But I have to cleanse the xenos from the galaxy with my Primarchs."

Empress:"Don't you But me Mister,I am your wife and you will be back at 8."

Big E:"yes dear"

The real reason for a lack of an Empress.

the Emperor isn't really on the Golden Throne, its a dummy.

he just came home late and his punishment was having to wash the Palaces dishes. he's still washing them