There are some which were primarily failures but didn't result in total losses and lead to victories down the line, such as the Dark Angels attack on Ulthor was broadly a failure, but lead to information that led to later victory.The closest I can think of for large scale attacks into the warp is the Scourge Campaign from 640.M41-651.M41. The Maelstrom Warders, led by the Astral Claws led a campaign deep into the Maelstrom, which was once (pre 13th crusade) the second largest warp anomaly after the eye of terror. It was initially very successful and only fell apart when one Chapter (The Charnel Guard) inexplicably left the campaign and the Adeptus Terra refused to reinforce the campaign. So not entirely a success, but it only failed due to incompetence of one chapter and the Adeptus Terra, rather than any crusade failing.
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