I did like that you could basically say "fuck you" to the Imperium, and solve most conflicts sort-of peacefully, particularly with the Aeldari.
40k in general has always sat in that uncomfortable space of being a British satire of the British Empire that got, uh. Americanized and taken more and more seriously over the years? (Ref. also Judge Dredd, for e.g.) I have the 8th edition of the core rule and it's like... guys, this is so obviously taking the piss, like it is total "are we the baddies" material my god.
Rogue Trader is more po-faced, and I wouldn't say it engages comfortably with its themes of empire, exploitation, religion and xenophobia but it also doesn't present them as uncritically "good," either (probably most obviously reflected through whenever Marazhai approves of anything human). I think it also treads a pretty reasonably line between "the Imperial Cult provides ordinary people with a unifying positive force in a hostile universe" and "the Imperial Cult provides the worst people in the universe the means to indulge in their base excesses... and do the ends justify the means, really?" (Disclaimer: Yes I am a "the Emperor is a Chaos God" truther.)
And you can be the one person who says "fuck that shit" and the game mostly respects that, even gives you a literal deus ex machina ending to stop the Imperium invading and obliterating all your planets post-game. Being nice to people does work, in other words, which in something as cynical and, uh. Shall we say... misappropriated as 40k, is probably the biggest subversion of all.