Well, in many regards it's a direct follow to their Inquisitor line, and I'd hardly call the Imperium "locked down into a single setting". It's a tremendously compelling and diverse setup for adventures of a very broad array of tones, while allowing for a sufficiently narrow lens that they can actually get some real depth on the material they're using.
Complaining that it's only the Inquisition is a bit like complaining that the 4e PHB doesn't let you play a skeleton, in my mind. 40k is such a ludicriously dense setting in fluff that if they had tried to cover all their bases, it would have been completely unplayable by anybody who didn't previously know the setting like the back of their hand - at least, for somewhere between several months and a year, and another $40. A game where mechanics are tied to a particular setting can NOT afford to not give a VERY good explanation of the setting in the main book. This is why there's like a page of information about Greyhawk in the 3e core books, and a chapter on the setting of Exalted.
Have you read the Eisenhorn and Ravenor books? If you haven't, you probably don't really understand the appeal of an Inquisition campaign.
(And as far as the official module goes, I've been playing in it, and it's fantastic. Better than any official modules WOTC has put out for 4e, certainly.)