If you can enjoy it, enjoy it. No entertainment is completely free of issues and problems. It is frustrating watching something with friends and they clearly don't examine the deeper themes whatsoever ("It's just a fun superhero movie, there's nothing deeper about it, you overanalyse everything!")
But if you're just enjoying something on its own, especially something with a huge variety of writers coming at the franchise with wildly different interpretations like 40k, there's nothing wrong with that.
I've touched on this before, but as socialists, we need to be able to reach the masses. The masses aren't interested in theory, or why their favourite cop show is problematic, they just want fun distractions. You have to ease people into that stuff, and you start by being a regular person who can enjoy things rather than an overly uptight "stop having fun guys" kind of person.
*Insert that Ultra-Maoist copypasta here. *