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I'd enjoy some plot progression alright.

I remember seeing some fan-made fluff about the future of 40K, where Tyranids and Orks combined to become a huge threat, the imperium became completely divided (With Macragge splitting off from it completely) and Chaos winning the battle for Cadia.

It was truly interesting stuff and keeps me coming back to 40K. If I ever truly, truly believed that there was never going to be any plot progression at all (I don't) then I really don't think I'd collect it anymore.

With the recent changes in how GW conducts its business, I think there's a good chance that, at some point, we'll see some real progression (A novelisation of the Black Crusade perhaps?).