1- First and biggest: Astronomican beggining to fail.
The Astronomicon and the Golden throne are now starting to fail, to make things grimdarker. The refusal to move the story forward is getting ridiculous at this point.
2- Drowning in tyranids:It's been hinted quite openly that the hive fleets seen so far were only the alien version of new neighbors dropping by
Since Tyranids shifted from Rogue Trader's 'six-legged alien dudes' to 'nomnomnom murderbeasts', the waves of Hive Fleets encountered have been theorized as precursors to the full power of the Tyranids.
3- Technological stagnation: much of the tech and science in the human empire has been roughly the same for millenia.
Fluffwise, it's going backwards. Land Raiders, for example, used to be STC vehicles that could be made relatively easily provided you had the STC blueprints and manufacturing facilities. Now they are irreplacable holy relics that cannot be built any more (so naturally, the Blood Angels drop them from great heights).
4- Ork up the wazoo and more on the way: Orks are not so much a race as a complete eco-system geared for war, manufacturing its own food, weapons, labor and red-painted deffkoptas from nothing starting with a single spore.
Orks have been an infestation since the 'Ere We Go and Freebooterz books back in Rogue Trader. The power of Ork Waaaaaaghs has been cranked up in the backstory, however.
Who'd imagine that an elite army of fanatical, psychotic super-soldiers backed by actual demons in the flesh would be such a small threat, given the competition.
Humanity has stopped being a nascent psyker race, filled with the potential to let horrible demon beasts into the real world from the Warp - the shift has been towards the Chaos Legions and their Long War, and Abaddon's utter failure to achieve anything on his Black Crusades (because the story never advances). Chaos has become an external threat, instead of something that can erupt on any world in the Imperium if psykers aren't rounded up and controlled.
Any other potential Michael Bay catastrophies looming closer that I missed?
Necrons and their impending Harvest, once they are fully woken and can poke their C'tan chums into action.