A terrible shame would be if the show missed the humor and satire inherent to the setting. WH40k is not a dark scifi setting, it is over the top dystopian comedy. Its root are in Judge Dredd, Nemesis the Warlock and metric tons of cheap beer.
That's my major concern with the show. Other media adaptations are all over the place on this, from ones which very much "get it" (the recent Rogue Trader game - it's not perfect here but the vibe is strong), to ones which see 40K as just po-faced dark science-fantasy (a lot of the novels, even the well-regarded ones). One particularly common failing is not be able to entertain the idea that the Imperium of Man is frequently stupid and wrong, and often goes too far, and instead seeing them as a true underdog at all times. It's meant to be a decaying, failed, rudder-less galaxy-spanning empire, which frequently sows the seeds of its own destruction, not a scrappy lil' fighter. Individuals can be heroic within that context, but the Imperium as a whole pretty much never should be. Even with supposedly-heroic organisations like the Marines, where the Salamanders and related Chapters will absolutely throw themselves into fire and take big risks to save civilians and protect them, others, like the Black Templars and related Chapters wouldn't blink at nuking a city on the
off-chance they killed some cultists.
For me, key scenes to feature early on would illustrate that a lot of the problems the Imperium has stem from it being ultra-oppressive (Handmaid's Tale Gilead is a vacation destination compared to most of the Imperium - or perhaps a microcosm of the Imperium), deeply corrupt in a non-magical sense (i.e. financial and self-interest-wise), and ultra-stratified, and also show that it fails even those it should regard as heroes. I'd definitely feature a scene where chaos was completely defeated and the Imperium nuked the ship/city/planet anyway, either out of incompetence, psychotic religious beliefs, greed, or some combination of those.
What concerns me a bit is Henry Cavill, because he's presented as this fan's fan by his er... fans but in reality, he's come to 40K pretty late, and the faction he's keenest on are one that was only made playable (and changed hugely in the process) in 2017, and which is ridiculously more positive about the Imperium than previous portrayals - the Adeptus Custodes.
In older 40K, the Custodes were the direct equivalent of the Roman Praetorian guard, right down to the huge corruption and deep involvement in palace intrigues. They were superhuman but not vastly so. This was very fitting with the older satirical take on the empire.
The new version, which Cavill loves, has them as incorruptible demigods, who are always doing the right thing, and far more powerful than lowly Space Marines, even Primaris Marines - a portrayal which honestly, matches up very poorly with stuff that's happened canonically in the Imperial Palace/Holy Terra (where the Custodes got "chumped" a number of times, and utterly failed to deal with various threats). It also doesn't fit well with the idea of the Imperium of Man as a satire of fascism, Thatcherism, etc., which it's supposed to be.
Amazon, of all the big streaming services seem best-placed/most-likely to "get it", given The Boys (and Invincible, frankly), Fallout, and The Man In The High Castle. But I'm pretty sure Cavill doesn't "get it" based on everything I've seen him say re: 40K, and like, I'm not saying this to gatekeep, but I don't see how he can be held up as "Mr 40K Lore" when I am fairly confident that even I know more actual 40K lore than him, and I wouldn't think
I knew enough lore to keep things on track. I think he makes a great ambassador for the tabletop game - but I worry with him supposedly being a shepherd of the setting in a TV context.
(As an aside, most of the problems with 40K not being seen as satire etc. stem from 3rd edition through about 7th edition 40K. 3rd edition is easily the most po-faced and humourless edition of 40K, and absolutely presents the Imperium of Man as unequivocally "hard men making hard decisions", not a bunch of religious nuts dogmatically doing insane stuff in a decay empire - ironically this is the edition that also introduced the T'au as "good-er" than the Imperium, but that's another story. This is also why they got rid of the Squats (recently returned) as being "too silly", whilst introducing the far more fundamentally ludicrous/farcical Dark Eldar and Necrons (to be fair they managed to de-farce the Necrons in later editions - the Dark Eldar, not so much) but trying to be deadly serious about them. 40K still has some problems even in the current 10th edition where it just makes the Imperium too "mean but clean", and excises too much of the decrepitude, decay and ineptitude. This 3rd to 7th era - particularly the '00s - was also when 4Chan and similar troll-nests/nazi breeding grounds got "keen" on 40K and started absolutely idolizing the Imperium. Those people are a bit less common now simply because so many new and more sane people joined 40K in the last few years, but they're still a pernicious online presence.)