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I honestly see nothing wrong with them advancing into 41k, releasing campaign books to replay significant events in the following millenium.
But whilst continuing 40k as the main thing. 41k could be executed the same way as 30k; an expansion.

 Psienesis wrote:
More accurately, WH40k is a setting, not a story.

For the tabletop, sure, but there is a story to it, and the progression's all been squashed up into M41.999. Lots of loose ends up there that are just dieing to spill over into M42.