>>96010634I'd say:
1. Too obviously 'fantasy' for 40k; even science fantasy needs that token gesture to 'science'. Your space wizard may be a wizard, but he needs a laser carbine rather than a magic wand.
2. Lack of tactical variety. Ultimately hordes of melee infantry (and cavalry) marching up the board. Not so bad in fantasy, but in 40k almost everyone is an 'archer' with multiple attacks. And that's before we get into tanks and such.
3. Lack of visual variety. A bloodletter is a bloodletter is a bloodletter, and there's only so much posing can do (though I've used AoS witch elves for daemonette conversions with good effect). Even then, they're less individual than, say, a basic group of Guard. Even in fantasy, I feel a unit of chaos warriors, or even simple marauders or the new darkoath, have more individual character to the models. Is part of this age? Sure, I guess, but that's what's available.