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There are religious scholars and the like in the Imperium, but most of them are not looking to change the Imperium, simply to reinforce its practices.
Gideon Ravenor wrote a book that was a philosophical treatise on the veneration of the Emperor and adherence to the Imperial Cult as a way to resist the temptations of Chaos. This book, "The Spheres of Longing", is quoted several times in the Gaunt's Ghosts series.
So it is not that the Imperium does not permit philosophy, but it only permits the right kind of philosophy. Rational thinking, too, is just fine... but you have to remember that the people of M40 live in a galaxy where daemons, gods, magic and all that sort of thing are known to exist and can be demonstrably proven to exist. While there might be atheists in the Imperium, those types of atheists are either inexperienced with the horrors of the galaxy, or stupid.
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