I thought that the war was a tool for keeping the masses under control by focusing outward to a common enemy.
Sort of, but it's also just about keeping your head above water. There isn't just one war, but rather thousands of 'em. The fluff spans 10,000 years and it's a constant war across the galaxy to fight off the myriad alien species that want to enslave or eat humanity, and the never ending war to fight off Chaos, which will devour the universe one day...
I always get the impression that most of the Imperial Guard and the Soviet army in Enemy at the Gates would be pretty evenly matched, although each guardsman does at least get his own gun. That said, in recent times the fluff has changed slightly to suggest that they're at least competent soldiers.
True, one thing that I do like is that some Imperial Guard, or Astra Militarum as they're called now, are on par with Royal Marine Commandos who actually have training and decent kit, like the Cadians, and some are issued wind-up lasguns and boots and told to go and drown the enemy in blood.
As I say, the only real issue for me is this: Get men: Fling men to Space: Die routine.
It would make more sense for me, at least, to have regiments do tour of duties, to return home every now and then and basically become a standing regiment, etc. In WH40K, regiments are raised and die in a single campaign, unless they happen to survive, in which case they die in the next.