Outline

I'm planning The Path as a fixed-length exploration campaign set in the Warhammer 40,000 universe.

Fixed-length

Our story will have a beginning, middle and end. The “plot” of the campaign is linear, the individual episodes and your character's reaction to them are not.

The Path will be perilous, hopefully in more ways than is initially obvious. Characters may not live to see the end. Even if they do, they may no longer be suitable for any of the other, “standard” 40k games, effectively forcing their retirement, barring an (unlikely) sequel.
Your characters can bail at any time, but if you both decide to go no further the campaign ends.

Exploration

“Linear progression?”, “Forced retirement?” What am I offering in return?
Mystery, power, small and large scale change. And answers.

There's stuff I wanted to do in Warhammer Fantasy, but couldn't because there would be no way for the characters to understand what they were experiencing. I don't think they'd work for Rogue Trader either, because you were (quite correctly) playing Imperial citizens, happy to maintain the status quo while excelling within it (well, apart from Midian; but that's because Dougan's a freak).

Please keep these things in mind as your characters progress. If your character is too cautious, not rebellious or curious enough, or is unwilling to suffer to get what they want, chances are they'll wonder why they're getting involved.