Well, as has come up several other times in this forum, 40K has room for the story you want to tell. We absolutely do think that the Romans were a bunch of genocidal evil megalomaniacs. So was Alexander the Great, and pretty much every other monarch with "the Great" after his or her name. That doesn't mean they didn't have wonderful, inspiring qualities, or that they didn't do any good in the world. You can be a genocidal megalomaniacal mass murderer and war criminal and still be a hero, after all. The Emperor was certainly out to destroy Chaos, because ... well, because. I guess if you think Chaos is evil, that's good. He was certainly a charismatic leader, a visionary, and a fearsome warrior, all of which I personally consider intrinsically admirable qualities even if they aren't always used in the service of admirable causes. But it wasn't just Chaos that he declared war on. He also declared war on every form of non-human sentient life in existence, because ... well, because. He declared war on the very idea that anybody but he could lead humanity, so if a planet didn't want to join the Imperium they were declared race traitors and conquered. He declared war on the very idea of religion, because he was convinced that religion was intrinsically evil. He decided to conquer the galaxy biologically and culturally because he was convinced that he knew what was best for it. As Polybius said of the Romans, he created a desolation and called it peace.
But that's just one way to tell the story. It fits the facts, but it emphasizes them in a particular way. It's the version of 40K I find most compelling. It's not the version that everybody needs to find most compelling.
One of the things I like best about 40K is that it has room for both. I don't see why you can't admire the heroism of a space marine who accepts a life of slavery even as you view him as a slaver and a slave, or why you can't admire an ork for defiantly pursuing a life of happiness even if that happiness involves the savage slaughter of dozens or hundreds of other sentient beings, many of them defenseless. Realizing the horror of the fact that Alexander killed more Greeks than the Achaemenid Empire did in its entire existence doesn't need to stop you from admiring the way that he inspired those around him to believe in themselves and what they could accomplish. Villainy and heroism are not incompatible with each other in real people.