That's when the real shit happens though, IMO, is when you're going out for a cheeseburger and the best strap you have is a pistol, because it's the only reasonable thing to have at the time. That really forces players to think and act tactically, outside of the box. Versus: everyone shoots full auto at the guy in cover until the mass of bullets is so overwhelming he can't help but die.
So while they're not wrong, because as a GM if my players are lightly armed there's a good chance I'm going to try some shit just to spice things up, it's still annoying to have to constantly remind people of place and setting and get them to voluntarily dial back the power gaming.
And then you have the players who look at you and just point blank say "I'm bringing everything because that's the kind of character I play" and you are forced to drag them through a scene just to disarm them.
To be fair though, it was the first 40k RPG that anyone had tried to run, and after that we went to Black Crusade and Rogue Trader where, by and large, there was no reason or excuse not to be armed to the teeth at all times.
Reminds me of another time in Rogue Trader I sent an Assassin after the Rogue Trader captain in his quarters. Assassin gets in, shoots the Captain, I roll damage and he goes "oh it bounces off my power armor."
"Uh, I mentioned it's the dead of night when he attacked, and you were sleeping. Do you sleep in your Power Armor?"
"........yes."
*sigh* As a player I can appreciate the impulse to not let the GM hit you when you're at you're weakest. But as a GM it's damn frustrating to try and run any scene where the drama is anything but what amounts to a Final Fantasy 1 fight. I constantly have to argue with my group about surprise rules, setups and conditions because none of them ever wants to feel like something got the drop on them.
It's really a hold over of our first D&D experiences, playing shit like Temple of Elemental Evil. We hammered out a procedure to survive that module and other campaigns like it. "We listen to the door. We check the door for traps. We open the door. We have the thief Move Silently and Hide In Shadows. We have the thief check for traps." Every. Single. Room. Until it basically sucked all the fun and excitement out of traps because we mechanistically figured out how to trivialize them. (Although to be fair in ToEE, those traps were nasty as fuck.)