I find that when you love something a lot, you also end up hating certain parts or aspects or consequences of that thing. We all must have something about 40K, whether it has to do with the models, the community, the rules, or whatever, that we can't stand. What's yours?
(Mine, BTW, is the application of complicated real-life tactics to 40K, which is demonstrably nothing like actual battle. For one thing, a 6-year-old can play - in a first-world country.)