Advancing the Storyline
Advancing the Storyline is what a great number of neckbeards believe that Games Workshop need to do with Warhammer 40000. On /tg/, Warseer, Bolter and Chainsword, and Dakka Dakka, people complain and grumble about how the storyline never moves beyond the year 999.M41, with Abaddon the Despoiler's 13th Black Crusade on the very brink of taking Cadia, for real this time, the Tyranid Hive Fleets closing in on Terra, the Astronomican flickering and fading, and the Golden Throne one Adeptus Custodes's sneeze from shutting down permanently.
Why they're wrong
Some people - Aaron Dembski-Bowden being one of its most frequent proponents - hold the view that this attitude is a load of shit, and that it completely misunderstands the nature of the 40k setting.
This is because 40k isn't a story, and in fact, doesn't have a "storyline"; while events from it, such as the Black Crusades and the Badab War have had their stories told, there's no one story that the setting exists to tell (unlike with universes such as those of Star Wars or Doctor Who; even though other stories exist in those settings, they're based on a single one). 40k is a setting in which stories take place, and has 10 thousand years and a whole galaxy in which to set them, so expecting the timeline to "advance" to "continue" or "finish" the "story" is a stupid idea.
The other, more practical issue with advancing the storyline that the majority of 40k players favor one of the many Imperium-aligned factions-assuming that the God-Emperor doesn't get resurrected and the Golden Throne isn't fixed before it fails (which itself is rather unlikely and has a good chance of pissing off several people), the sheer number of threats that the Imperium faces on a constant basis will tear it apart as soon as the Emperor snuffs it, which is bound to make all the Imperial players quit playing 40k and take their money somewhere else. Needless to say, Games Workshop's profits would be hit incredibly hard by the departure of so many paying customers, so they have no choice but to bend over backwards for them out of fear that they might leave for another wargame if they don't get their way all the time. Although this has the infuriating side-effect of causing the setting to grow stagnant and unchanging (much like the Imperium itself), GW can't afford to appease a vocal minority of complaining neckbeards (who make up the other HALF of Game Workshop's fanbase) at the expense of all its other customers who either don't care about the fluff or are otherwise indifferent to it.
In theory, it wouldn't be that difficult for GW to let the Imperium fall and break apart into smaller factions (e.g. the Imperium proper, the seceded Ultramar, and the parts of the Imperium conquered by Abbadon following his capture of the Cadian Gate), but ever since 3rd Edition GW has followed the motto of "Death Before New Factions" and wouldn't want to risk angering diehard Imperial fans. It may be uncreative and it is certainly stifling the potential of the setting, but GW isn't in the business of selling toy soldiers to children because it wants to be creative- its top priority is to make money and changing significant parts of the setting just isn't worth the risk from the executives' point of view (which in practice is the only one that matters).
Why they're right
On the OTHER hand, Privateer Press has managed to pull off a metaplot in a wargame just fine with WARMACHINE and Hordes, and there's no reason that it should be any different for 40k. Besides, given the fact that GW is already expanding the scope of the game to include the previously untouchable events of the Horus Heresy, it's perfectly possible for them (and probably quite profitable since it would give them an excuse to make a new line of minis) to start encompassing events further into the future as well as into the past of the setting. (Some can say that they're already doing so now with the increased emphasis on the "Time of Ending" in the current Codexes.)
On top of that, it can be argued that the central story of 40k is the story of the Imperium's fall from glory and slow decline, which must by definition end with either the Emperor getting revived or the destruction of the Imperium of Man. Even the evolving stories that your dudes could once be capable of can no longer exist because there is simply nothing left to evolve. Remember how the Eye of Terror Campaign ended in a victory for Chaos? Instead of allowing its results to change the background (via Abbadon taking Cadia), GW instead decided to backpedal in a way that ultimately made the events of the campaign utterly meaningless. How can you have an emergent narrative take place when any sign that it might upset the way things are now results in it being retconned or otherwise made insignificant?
Another major problem caused by the setting's stagnation is the presence of numerous plotholes which form as a byproduct of GW's insistence in squeezing the shit out of 999M41- a good example of this is the Knights of Blood to defend Baal AND also to attack the Farsight Enclaves on the same year despite the fact that they should be on the opposite sides of the galaxy from one another. The only way to fix that would be to retcon the date, which would create problems of its own.
There is also the matter that some of the Ciaphas Cain books take place in the early years of M42 (though his adventures are not exactly Imperium-shaking events)- if those can be considered part of the fluff now, what's to stop it from going further than that?
TL;DR- the only thing that stops the setting from progressing is the number at the end of the game's name and the fact that they're too chicken to take a gamble.
Beyond the 41st Millennium
Of course, while Games Workshop may never enter the 42nd Millennium, that doesn't stop us from writing up fanfics that do so (or from bickering over which possible portrayal is more likely to actually occur).
- The ship moves, a setting where, in the grim darkness of the 51st Millennium, the God-Emperor of Mankind orders the construction of a giant ark to leave the failing Imperium behind.
- Story:The Shape Of The Nightmare To Come 50k, a plot that manages to become even MORE grimdark than it already was, with the Emprah croaking, the Imperium splintered into Khaine-knows-how-many pieces, and several other incredibly crappy things changing the universe even further.
- The Mission Stays the Same, a cross over with Mass Effect (a warp portal sends a Stormtrooper Captain and a Farseer into the Mass Effect Universe) that starts in 032.M42. Said Stormtrooper mentions Cadia just finally pushed chaos out and Eldard has indeed died (no mention on how).
Warhammer Fantasy
Unlike Warhammer 40k, the plotline of Warhammer Fantasy does advance, but in small increments. Each edition and army book usually adds a smattering more fluff in the past (and maybe a retcon or two), rarely an update to the big prophesied battle between good and evil that decides the settings future, and a plot hook in the present. For example, the 8th edition Vampire Counts and High Elves army books (Codex for 40k players) added a new story to the end of the army timelines that mentions how Mannfred von Carstein kidnapped the Everqueen's daughter Aliathra, and is going to sacrifice her like a Frazetta painting to bring back the settings big BIG bad Nagash (who trumps even the Chaos Gods) and that the greatest hero of the High Elves, Tyrion, has saved her and is riding at the head of a large High Elf army about to clash with a large Undead army.
Smaller updates (mainly gimmicks to sell a book and some models) like Storm of Magic will add a whole new event that extends the "present day" by a few months to a year. The infamous Warhammer Online was entirely non-canon which may have been what doomed it from the start. Regardless, Fantasy isn't THAT adventurous about advancing this plotline either.