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The current narrative of 40k appears to be completely confined to the limits of our galaxy (the Milky Way), having read some of the literature I am curious as to whether there any stories that hint at the importance of other galaxies in 40k universe, we known the Tyranids have an intergalactic origin, and I'd though the C'tan also had origins outside of the milky, but are there any other indications of civilizations and events that came from beyond the Milky way?

Not really. Everyone except Tyranids comes from the the Milky Way. The closest I can think of is the Mechanicus launched a probe outside our galaxy and still found Orks.

Theres an Eldar Craftworld that spent a few thousand years outside the galaxy then came back in the novel Ghost Warrior.

even with warp travel going to anther galaxy would be slow going, so detailing out another galaxy would be futile, as you'd essentially have a seperate group of factions that never interacted with the first, outside of maybe 1 or 2 bridge factions. that would work poorly. There's a reason Battletech killed off the homeworld clans.