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The truth is though, when you consider the universe, most warfare is at range.
With the exception of the Orks, Tyranids and some kinds of Marines (Black Templars, Khornate, Emperor's Children, Blood Angels), and the aforementioned Eldar Aspects, and their Fallen equivalent, most people shoot each other.
Only those with some inherent advantage in lethality can fight in melee as their primary means; Orks are hard to kill, fight in large numbers, are individually very strong, and don't take the whole war business all that seriously, Tyranids are numberless, but still use large amounts of ranged firepower, Marines have power armour, which while not much on the tabletop these days, in-setting, it is extremely durable. A marine can wade through enormous firepower to kill things in close combat, and as has been said by others, a sword or other close combat weapon is extremely lethal, moreso than a ranged weapon in many cases, it just needs to be able to get close, power armour and other technological devices allow this.
To use a historical analogy, during the Satsuma Rebellion in Japan in 1871, the rebelling Samurai of the aforementioned region managed to inflict enormous casualties on the advanced Imperial Army by use of terrain, allowing them to close without overt exposure to cannon and rifle fire; each swordsman can kill several times his number of ranged combatants if he can close. By use of terrain and advanced technologies, Marines of both Loyalist and Traitor variety can use their super-human abilities to their fullest extent in close combat, but even then, most marines spend more time using their boltguns than a chainsword.
For the Eldar, the Aspect system means their two close-combat specialists, Banshees and Scorpions, are a support and shock centric force. Scorpions are there to go after deadly ranged combatants, strike from the shadows, eliminate those who can not defend themselves and withdraw. The bulk of Eldar armies still rely on their advanced firearms to do the heavily lifting, with Banshees and Scorpions merely acting where they can open an advantage.
Most of the fluff in 40k is focused on ranged warfare, it's more a nature of the artwork and tabletop which accentuates close-combat, being heroic and mighty and epic and so forth. Truth be told, the only force that really bothers me is Black Templars when it comes to close combat; by rights, their own limited approach to fighting should see them beaten more often, as they basically do just charge at the enemy relying on their armour to protect them. Blood Angels at least make use of jump and other more mobile forces to close the gap quickly, and still make good use of tanks, aircraft and other ranged forces, Orks and Nids have numbers, Eldar have Eldar shenanigans, Templars just kind of run around on righteous fury.
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