Everyone here is talking about the stories, but I want to add a point about how the hobby itself makes you really buy into the universe.
There's this concept in tabletop that sometimes called "Your Dudes", which basically describes how incredibly attached you get as a player to an army if you take the opportunity to customize them. My own Sisters of Battle aren't just pixels on a screen that I spawn in when I have enough command points, I remember painting literally every single on of their guns, liveries, and armored corsets. I've thought of names for each of the squads and applied little color variations to them so I can tell them apart on the board. I know the names of the sergeants and exactly what bits and pieces of wargear I attached to each of them so I can swap them in and out based on my army list. I have a whole backstory about how they come from a feudal planet and their liveries are super colorful because it's their family's banner.
Anyway I think that people who actually play the game get way more attached to the universe than in other hobbies, and that drives them to want to bend over backwards to explain why their faction is the Good Guys, actually.