Even a Rogue Trader, one of the most powerful class of individuals in the Imperium, will feel that insignificance.
Respectfully disagree.
So I suppose what I'm talking about here is that while the Player Character may have an inflated (or in some cases, realistic) view of their significance, the player does not.
This is because old 40k lore and atmosphere absolutely drills in the futility of hope. Humanity's bright and shining future has already turned to dust, the only hope of salvation, the
immortal God-Emperor, is enthroned is a sarcophagus that is hinted/outright stated to be near breaking point.
Humanity is doomed, nothing good will ever happen again, and we've lost the ability to make chocolate cookies.
It is in this oppressive atmosphere that a Rogue Trader, one of the few people in the galaxy that can rightly claim to have any degree of freedom, is made. While the PC may have heady dreams of riches, conquest, or simply captain kirking his way through a swathe of sexy alien women, the player knows this is ultimately futile. No matter the heights that the Rogue Trader reaches, they cannot turn back the ultimate doom that awaits their species.
This is 40k, and the roleplaying atmosphere it offers. This is what few games do right, because 40k is a dark, subversive power fantasy.
Unless we're talking first edition, than that's a whole 'nother bag.