And more than just making a simple statement, the game then encourages you to go nuts exploiting the nonsensical 40K setting for your own profit. Have you ever wanted to dogfight with 1940's-era biplanes in the reactor room of your own spaceship? Go big game hunting for Orks? Launch an orbital strike to avenge a petty grievance?
Like I told my GM, "You call them insanity points, I call them my score."