Some neo-Nazis think that the Imperium is some kind of post-neo-fascist paradise.
And they're right, of course: a universe where every other race/faction is out to get you, there are no "good guys", any attempts at peace or harmony are laughable and any horrible things you may do are justified since your enemies are just as bad if not worse? What's there for a Nazi not to like?
Note how the Imperium combines the worst parts of Stalinist Russia, Nazi Germany and Maoist China with added piles of awful awful awful leadership. Not to mention the worst parts of Dark Ages Europe and the colonization of the Americas.
It's probably safe to say the Imperium combines the worse aspects of most, if not all, of human history.
For added Irony one of the few positives about The Imperium is that ethnicity and gender are no longer used to discriminate against people and everyone is treated equally albeit equally poorly.
Gender, not so much. There aren't many women in the higher ranks of the Inquisition, Ecclesiarchy, Administratum, Adeptus Terra, etc.
Ethnicity, not so much, either. People of color are so frickin' rare in the books that when they do show up, it's lampshaded almost into racism-through-anti-racism.
They make up for it with their Fantastic Racism vs. aliens and abhumans, though.
It was a bit more justified originally with the Tau, since the original material on them kind of glossed over any of their negative aspects. Character Development fixed that, though they still offer conversion as an alternative to extermination, which none of the other factions really do.
Take note that said Character Development only appeared after fans complained that they weren't Grim Dark enough, and most of their negative aspects are described in quotes by Imperial characters. The Tau are either the best/least-worst dudes in the universe if Imperial propaganda isn't true, or merely as grey as the Imperium if it is.
The Harlequin as portrayed are probably the closest thing to "the good guys" in the setting. They also are severely underdeveloped.
They are implied to be trying to reunite the Eldar race but don't really care about changing the ideologies of their allies.
The whole thing isn't helped by Black Library writers trying to give the Imperium a human face in order to make political officers sympathetic.
Some claim that the whole setting was never meant to be taken as seriously as many fans do. In a fine example of this trope and/or Poe's Law, things intended as parody and Black Comedy were embraced unironically.
There are quite a few diehard fans who embrace the paranoia, intolerance, fanaticism, and Fantastic Racism of the setting, and project it into other games, media and real life. The less said about that, the better.
The Old World of Darkness supplement The Book of Nod was originally a source of stories and a prop for the setting. Imagine the author's surprise when Noddism became a cult.
Ditto that for the Sabbat faction in Vampire: The Masquerade. Originally little more than vampiric orcs, the Sabbat became the setting's most popular faction among players, despite (or perhaps because of) the gory and sadistic supplements that described their behavior. Some of the additional depth (and sympathetic elements) the Sabbat later received may have been an attempt to move the target a little closer to where fandom was aiming. They're still liberatingly horrible by and large, but with a few legitimate points to stand for.
Given the sheer number of "This is a GAME. You are NOT a vampire/werewolf/demon/mage and the Devil is NOT your unholy master. If you actually believe any of this stuff, get some help" warnings in some of the later supplements, it's fair to say that the old World of Darkness had a definite problem with misaimed fandom.