Well, in 'Dead Sky Black Sun' part of the Graham Mcneill Ultra Marines/Iron Warriors books, when Uriel and Pasanius are taken by the Omphalos Daemonium (a powerful chosen daemon of Khorne), he transports them --unshielded-- through the warp (protected from other warp entities only by the sheer power of the Omphalos Daemonium). As their minds were about to collapse, it seemed to Uriel they were moving through the empty spaces between shards of a broken mirror. The Daemonium laughs at Uriel's futile attempt to make sense of the warp, and cautions him about the dangers of even trying to perceive its infinite vastness. I thought it was strongly implicated that each mirror shard was a separate reality or universe, and that the warp was the 'emptiness' that binds all of creation together.
If the warp, and its gods, exist in all reaches of ALL UNIVERSES, i find it highly unlikely for them NOT to exist in other galaxies in our own universe. Who's to say that only the races of our galaxy sustain them? They could also be sustained by a myriad of other races thought our known universe--in our galaxy and beyond--not to mention any possible races in the infinite number of OTHER universes.
In short, i think the Warp and the powers/gods therein are THE ultimate power in ALL universes, and have a tenuous grasp over the psyche of psionicly attuned races based in part over the amount of sway they hold over each race in question. The birth of Slaanesh for example, might just be the point at which Slaanesh wielded enough control over the Eldar, and was able to consume them in one calamitous event, allowing him/herself (shimself?) to rip through the veil of our galaxy and take far more power then (s)he had before (Slaanesh has
always existed, even if the races of our galaxy hadn't felt his influence until that event).
Again these are all theories of my own, so...
***Edit: just thought I'd add that these theories of mine predate my adoption of all the chaos armies you see that I have

I formed these theories during the gap between 3rd edition and end-of5th edition, during which my only ties to
40k were the novels that I read.