Its an interesting idea, although I think just copy-pasting the characters and enemies would not create a very original or immersive feel (after all, as people have pointed out, the Gears seem to be pretty much in-between Space Marines and Imperial guardsmen in terms of toughness, veering closer to one depending on difficulty level, meaning it would be hard to create a realistic feel on all difficulties). Rather, what if a 40k FPS was made using the unreal engine being used in GOW2? Having hundreds of enemies swamping the screen would work well for Ork and tyrannid attacks, and were the main characters to be Space Marines (which in my opinion would make far more sense than guardsmen, since the weapons used in the 40k universe seem somewhat more powerful than the ones used in the setting of Gears, it would be easier to justify Power Armour being weaker on higher difficulties than the flak armour (at least, I think thats what it is) of the Guardsman suddenly being able to take dozens of shots with ease on the lower difficulties), then the way the lancer has now been designed to allow opponents to "fence" would suit the character you play as pretty well, and since there are also a few races out there with some form of chainsword weaponry (Orks, Chaos Space Marines, Eldar to the extent of one unit, and even IG sergeants and officers, who you could be fighting were they traitors or whatnot), it would be a way to ensure the feature was used, but not continually forced upon the player (the one worry I have regarding Gears 2 is that if you have to go through lancer fencing every time you engage an opponent in melee, it'll slow down the overall feel of the combat and become a tad repetitive for the player).
Of course, to take a completely different approach, a setting not unlike that of Necromunda could also work quite well, as the industrial areas and relatively small groups of fighters would create a good cat-and-mouse style atmosphere like Gears introduced to an extent. These are just fleeting ideas i've had on the subject, so make of them what you will