How did the mechanicum of mars survive as an entity? A -seperate- entity, no less, that was technically an ally of the emperor rather than subservient.
The crusade on is harder. I mean some of the legions didnt give more than half a hoot what you were doing if they could find an excuse to land and take some heads with them.
But essentially, you start the game pre-emps. Play a bit. You define your faction a little before the game to simulate history, then play as a faction on terra/old night. Then, midgame or w.e. E shows up, or distant planets start to fall under the imperial banner. Then, depending on your nation you can make allies with the imperium or fight them. The empire can hangout for a bit, and AI can react to your choices pre and post Emps.
And that says nothing of internal politics, which can be rife with God-worship, proto-heresy, or even Endgame Emperor worshipers. The bringing of your nation into the fold does not have to be the end of the game, since your internal structure changes and politics. And even then there can be threats from other nearby planets.
I mean, the space marines werent everywhere at once, and E took his damn time conquering the planet. And the tithe paid by a planet can be hard to come up with.
The game's end is very 40k. because you dont 'win' as you would imagine a 4x game.
P:
Fighting against emps was not impossible. And he wasnt a godhead until later. There are lore examples of very powerful counters or independently devised variants of the SMs.
And if you disregard the whole 'canon Emps is unstoppable and divine and fate' bitty, theres a lot of appeal in an endgame horde of super-soldiers that you have to defeat.