I think the burden of proof goes the other way? Obviously there were christians in England. But the British Empire really just was not a "Christian Empire" in any way that works in fiction. All the archetypes are secular! Tweedy bemonacled professors, Victorian romantics sharing cucumber sandwiches with their love triangles, gritty-but-cultured naval officers sipping tea and exploiting natives, Sherlock Holmes, for Christ's sake! (pun intended).
Like, this is a very deep well of narrative source material and like none of it is explicitly religious in even the most minimal way. Like, where outside of 40k is anyone trying to construct an explicitly "British" cult warrior along the lines of a Space Marine[1]? I just don't see it. And if this is the only example, maybe it's just a bad example.
Basically: the idea that 40k is based around British ennui about its imperial history is mostly a meme. It just fails as analysis in my eyes. 40k is about drunk nerds laughing too hard about weird stuff, and the analysis was a retcon picked up by atheists like us to flog our own particular culture wars.
[1] And to the extent you can find better analogs, they're to American grunts in the 20th century and certainly not redcoats!