There is no doubt that FW could make a lot of beautiful stuff, but one of the problem is how it relates back to the main game. Horus, the Emperor, the other Primarchs, Sisters of Silence and Custodes will all be useless for regular 40k. They either don't exist anymore (SoS, Primarchs) or don't fulfill battlefield roles (Custodes). Not to mention a Primarch would be obscenely powerful, basically a Reaver titan on a small base something that has no answer for any other race. So you either end up with what would effectively be a new game system (30k) or you introduce a real mess into 40k.
Also, not a huge amount of Xenos in the Heresy, Fulgrim had a lot of run ins with the Eldar but that was prior to the start of the first book in the series, which is the pyrrhic victory on Isstvan III.