While gamesworkshop isn't exactly known for their ability to end the storylines of their games, they could at least indicate what happens when the emperor finally dies, IE terra is swallowed by infinite warpstorms/a new chaos god is born/the emperor reunites with the fragments of his soul and is reborn into a badass chaos mauling gigasoul/leman russ comes back and dances a tango with a daemonette/nurgle becomes infinitely more powerful/etc.
As they like to put it 40k isn't a story, it's a setting. If it progresses much it ceases to exist.
That said the whole issue of what happens to the big E when he dies is supposed to be mysterious to us because no one in setting knows either, much like the issue of his divinity, the fate of the primarchs, the two lost legions, and pretty much every other mystery in the setting.
This has come up before, and I maintain that they
could progress the storyline, and make it into a new status quo, with interesting new dynamics.
A Tyranid invasion so massive it blots out all the suns, and the necrons fully awakening and fighting the endless hordes with ancient technosuperweapons?
An Imperium after the fall, a once proud galactic society now faced with a choice: to continue the fall and end up as yet another forgotten race, or to reconquer their vigor and find new meaning?
A further expanding Tau empire, starting to feel the difficulties of managing vast expanses of space while holding of ever more alien and Chaos incursions?
The Eldar and dark Eldar, seeing the true danger of the growing eye of terror, and beginning an uneasy alliance to construct a network of pylons to hold the madness at bay?
Yes, I would sign up for that.
Oh, and even if you progress, you can still tell stories set in the current age. Like how they still write books on 30K, even though all the major events and course of history is known.