...If your goal with your movie is literally for the audience to not care, then you have already failed. I'm sorry MSH. But if you are intentionally trying to get them to be apathetic towards your movie, you really may as well not try. More so if the actual characters themselves don't even care. Where's the investment in the story, then?
The whole thing about grimdark is that you care. You don't stop caring because it's necessary. It's entirely possible to care and still be utterly cold and not let it factor into your decisions if they would diminish your ability to make plans, if that's what's necessary.
You show the audience what's going on, they think it's terrible, and that's a good thing. That's the point of the setting. You find the Imperium revolting at first. And then you see what they're going up against, bit by bit, and it starts to make more sense, bit by bit. You start to realize just how dark this world is that this is necessary, and that this is the best possible scenario. And then you see the Tau, and it gets even fucking darker, because you start wondering if maybe it's not the only way after all, and then you notice the Orwellian stuff and you get a bit creeped out because now you have to choose between Nazis In Space and 3984.
And then the Orks provide a bit of comic relief so you don't become clinically depressed. And then some more cool fighting scenes or Inquisiting or exposition or whatever.
Also, you really don't need or want much setting exposition with 40k. Information is so heavily guarded anyway, that it wouldn't make much sense to show the audience that. Let them have that thrill of discovery and exploring the setting. World-building is my biggest love in stories, and why I love alternate history and sci fi more than certain fantasy (which tends to be Tolkien 7.whatever or modern times). Give that to 'em in the movie. Build the world organically. They'll figure it out if you're half-decent about it. Don't even need to stick to the categories/values and shit listed in the codices, necessarily, either. Bring back Rokkas, if you want.
I mean, hell, if you want to be really crazy, you could even...have consistency! I was initially gonna say advance the plot but then nobody would take me the slightest bit seriously; movies aren't supposed to have plot anyway. Just explosions. Michael Bay should totally direct the 40k movie. All 40k fans would love the result. Right?