The odd thing about this is that the size of Warhammer engagements - often with fewer than a hundred models on the table - is so resolutely undramatic. Barely even a skirmish in the grand scheme of things - something akin to two forces conducting recon-in-force, I guess (which makes it even odder that they frequently include generals, mighty champions, famed heroes, etc.). In this sense at least 40k in particular is incoherent - it would be more fitting if battles were fought not between a few score troops on either side but between forces of hundreds of thousands, bigger even than epic scale.
What I would like to see is a strategic version of Warhammer 40k - a Birthright for the 41st millennium (or better yet a Crusader Kings II for the 41st millennium) which made the whole thing properly reflect the genuine "grimdarkness" of a setting in which the political objective of war is, basically, genocide and ruin. I would pay money for a game which did that.