Took me longer to get back to this than I anticipated. Anyway, here goes.
I would focus on a single squad of raw recruits in the Imperial Guard and follow the journey of the survivors through the series. I'd say no more than 4 of the 10 survive the first season.
Here's how I'd do the pilot.
Open the show with the blurb from the rulebook that ends with "But the universe is a big place, and whatever happens, you will not be missed.....", delivered in an ominous voice (James Earl Jones maybe?). Maybe alter it subtly so it isn't obviously the intro to a game.
Cut to a troop carrier in orbit around a random world and zoom into the hold where the troops are preparing for deployment. Pan past a sergeant leading his squad in prayers to the God-Emperor, then past another squad prepping their weapons. This serves two functions. 1) It establishes the dominant religion of the universe in a subtle way, and 2) It reinforces that this is a sci-fi show (because the weapons are obviously more advanced than anything found today).
Then we meet our protagonists for the first time in such a way to establish their base personalities from which to build their characters. As follows:
The Brash Hero: Establish him as cocky and confident, leading the audience to believe he will be the main character we're following. He's not. In fact, he's dead by the end of the pilot episode.
The Overly Pious Twerp: Prays every chance he gets, including constantly on the battlefield. Survives an obnoxiously long time by blind luck, but attributes it to the Emperor favoring him.
The Real "Hero": A born survivor. Inherits squad leadership but doesn't really want the responsibility (because he knows it means he'll get shot first).
The Heavy Weapons Team: A female gunner who is easily the physically strongest member of the team, and her ammo feeder, a rat faced little guy who is totally smitten with her.
The Cute Girl: The Imperium doesn't care about her appearance, just her ability to shoot straight. Really just wants the more idiotic guys on the team to accept her as a squadmate and not a sex object. Ironically ends up a Slaanesh cultist eventually.
The Killer: Something's wrong with this girl. Joined voluntarily so she could kill more things (she says). Rumors are circulating that she really signed up to avoid murder charges. Actually makes a really good Guardsman when you get down to it. Has a thing for stabbing things with large knives.
The Redshirt: Nervous and looks too young to be in a uniform. Totally incompetent at, well, pretty much everything. Except surviving by using every dirty trick in the book. Directly responsible for The Brash Hero's death. For some reason was given the plasma gun. (yeah, he's pretty much set up to die and keeps defying the odds).
The Comms Guy: Carries the vox caster. Sorta fades into the background until later.
The Veteran Sergeant: The only one of the squad with any prior combat experience. His left hand has been replaced with a bionic power fist and the rest of the squad places bets on how he lost it.
So there's our protagonist squad. Only about 4 of them will survive long enough for the audience to really care about them.
The basic idea is not to spoon feed the audience with the information they need to follow what's going on, but rather make them learn about the universe without realizing they've done so.
The recruits' first battle is against a cult uprising instigated by an Alpha Legion Sorcerer. He'll be a major villain for a while.