I always figured that they are the same universe, but different timelines. Something in the region of 40,000 years...
The warhammer world is terra, but before mankind expand as much as they do and chase all the other races off it. You could theorise that Sigmar is the Emperor - in some of the HH novels it's said that the Emperor guided humanity's fate from behind the scenes for centuries before becoming it's leader, who's to say he hadn't done that before as well, or perhaps that this was his first life.
The whole thing came about because 40K wasn't originally written as a separate game, but as an expansion to Warhammer. So it's not laziness that the Old Ones and the Chaos Gods are the same, just that the background was set down from the start, and why would you want to come up with a whole new universe when you can just transpose your existing one 40 millenia into the future.
My personal favourite theories about the 2 missing legions are that one is psychic (possibly psychic nulls) and the other is female (you're creating 20 superhumans representing the best of humanity and not one is a woman?).