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 - not to mention, it would be an awful business plan, since if 40k ended, Games Workshop wouldn't be able to sell toy soldiers to children any more.
Why they're right
On the OTHER hand, other wargames have been able to pull off a metaplot just fine, 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?
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.
Beyond the 41st Millennium
Of course, while Games Workshop may never enter the 42nd Millennium, that doesn't stop us from doing so.
- 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.
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 VonCarstein 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.