"Grimdark" means different things to different people. To some (but definitely not all) 40k players it's a realization of their fantasies ... of being the Defender Of All That Is Normal and getting to shoot up those icky, scary outsiders.
See, the great thing about the Tau isn't just their anime mecha.
It's that despite being small and "insignificant," they keep winning. Against the fascist, blood-and-skulls-loving Imperium. Not because they are better at dealing death, or because their technology is more advanced, but because they value diversity. They make friends out of their enemies, and work together to make things better for everyone.
Also, we like acting out fantasy lazor battles with our miniatures. Battles which are about as far removed from actual warfare and gun fetishism as magical girl anime is.
Now if only there were a magical girl minis game.