I personally think that they should do a CG W40K. However, wether its a CG movie or an anime series, it can't do with just a standard selection of 40K. In other words, It can't just be about a bunch of Space Marines and some Imperial Guard defending a planet against the Tyranids. In order to appeal to a wide fanbase, wider than just the 40K fanbase, it needs to have romance, suspense, plot twists, and other such things. Thus:
It will undoubtedly need to involve a plot by Chaos. The main villain will undoubtedly be a Chaos Daemon, and perhaps an evil guy who is being possessed by said daemon. The protagonists will undoubtedly include an Inquisitor and maybe some Space Marines or Grey Knights, or maybe just some elite Guardsmen in the Inquisitor's retinue. There will have to be Sisters of Battle to provide a tsundere love interest for one of the main characters, perhaps the Inquisitor, since the Space Marines and the Knights don't feel any sexual urges at all. Or perhaps there will be more than one Inquisitor trying to foil the villain's plot, and one of them will be female and that will be the romance. As any W40K fans know, with daemons involved, 40K plotlines tend to have lots of twists and surprises, so this will help to facilitate a palatable and enjoyable storyline.
In the end, the protagonists will undoubtedly have to combat the daemon in its true form, which will be almost impossible for the protagonists, even Space Marines. Thus giving them an excuse to have the Grey Knights teleport assault in and kick ass all over the screen, and give the protagonist Inquisitor a chance to strike the final blow to banish the Daemon. Que happy ending, world is saved, final moment of confessed love between the male and female protagonists, etc.
I say the storyline needs to follow a similar idea, because most other common 40K storylines won't cut it for an anime or a movie, if they want to be good.