We all voted, we all hate marines, for life!
Actually I think it just has to do something with fanboyism. Only for space marines will people argue that they can do anything ever. Well... maybe jedi.
Still, space marines do have limitations, and paranoid governing bodies watching over them. No they can't walk on water, and they cannot pick and choose which rules they obey (although a fair number of writers seem to think that they do *cough Matt Ward cough*)
In any story characters with limitations are the ones most interesting. 40k set up a universe where humanity is doomed, and there isn't anything they can do about it, and due to their archaic ideologies and methods it is pulling them down faster.
However I can only think of 1 40k novel where the Imperium loses, "Storm of Iron". Every other one it's a close call, or even when chaos/tyranids/necrons win, they still lose.
With how the latest 40k codecies have been (since IG) I'm wondering where they will go with newer fluff. They seem to keep escalating it to more dramatic heights than before.
I mean in CSW you had space wolves jumping (not teleporting, jumping!) from their exploding strike cruiser to a chaos ship, taking it over and killing the other chaos ships.
In Blood Angels, you have them allying with necrons, and then just happily walking away from one another.
In Grey knights you have someone 'purifying a bloodthirsters axe' and carving his name into a Daemon-Primarchs heart, while in the warp.
The only possible escalation here is having black templar wipe out some other galaxy of psykers while on their crusade. (even though intergalactic travel isn't possible).
Ugh, at least before this the fluff was reasonable, like the Red Corsairs capture of the Wolf of Fenris. Rather than Huron Blackheart just appearing out of nowhere, killing everyone, and piloting a cruiser on his own.