First, a Positive: High Action
I want to start by praising something I like about Wrath & Glory: the game is meant for high action 40k adventures where the characters are larger than life figures that overshadow the common citizens of the Imperium. This is an aspect of the game that makes it a good fit for Abnett's books. The characters in the Eisenhorn and Ravenor novels are all outstanding individuals with skills and abilities far beyond average.
In contrast, Dark Heresy, which is ostensibly a game about playing characters in an Inquisitor's retinue, tends to produce characters that feel like greenhorn Imperial failsons. The fetish for "You are playing an incompetent loser" strikes again in its design, in my opinion. I've figured out ways to hack Dark Heresy to get the kind of characters I want to see in my game (namely by starting at Rank 5 and giving a bunch of free stat boosts, which is admittedly a lot of extra work in character creation), but this is something Wrath & Glory manages straight out of the gate.
All Things to All People: A Losing Proposition
The earlier 40k rpgs, Dark Heresy, Only War, Deathwatch, Rogue Trader, are all hyper-focused on portraying a specific aspect of the Warhammer 40k universe. (They are focused on Inquisition agents, soldiers of the Imperial Guard, space marines, and err rogue traders, respectively.) In contrast, the Wrath & Glory core book offers a wide variety of possibilities as its baseline. You can play as Battle Sisters, Astartes, Orks, Aeldari, Imperial agents, gangers, etc. Unfortunately, a focus that wide means that the game is ill-equipped to handle any of them with detail and depth. There's just too many possibilities competing for space, so most of them have yet to be fleshed-out.
The Imperium of Man gets the most focus in Wrath & Glory, but even that feels under-developed. Of course, there is an element of unfairness in this critique. To use Dark Heresy again as a point of reference, that game had an expansive line of supplements covering almost every possible element of being a member of an Inquisitorial retinue. Nearly everything I've gone looking for in Dark Heresy is tucked away in one sourcebook or another. In contrast, Wrath & Glory just doesn't have the backlog of material to draw from, and I honestly don't think it will exist long enough to get to that point.
While it's true I could homebrew any missing content I need for Wrath & Glory, I prefer having that work done for me in Dark Heresy.
Sloppy Sloppy Sloppy
The last thing I want to focus on is the seeming lack of care that has gone into Wrath & Glory. This isn't something you immediately notice; it reveals itself over time the deeper you delve into the books. As an example of this, consider the Telekinesis psychic discipline. According to the book, "A mind practised in telekinesis can bend physics to their will, moving, crushing, or blocking objects using raw mental power." Sounds good, except there are no abilities for moving things with your mind. There are plenty of powers for throwing objects at an enemy or crushing them with telekinetic force, but I didn't find one that does what you probably think of when you hear the word "telekinesis."
(There are a few minor psychic powers that let you manipulate objects, but nothing I could find would let you move a heavy object with your brain, catch a falling ally mid-air, etc.)
To stay in the psychic powers chapter for a second, here's another instance of the sloppiness I'm talking about: the Flame Breath power fails to note how much damage the fire actually deals. It's been years and this had not had any errata.
This sloppiness isn't confined to the core book. For example, in the Forsaken System Player's Guide, both the Astartes Chaplain and Astartes Librarian archetypes have an ability called Chapter Cult, but the abilities are completely different. This is clearly a copy & paste error that never got fixed prior to publication. These issues are small, but they add up to contribute to the game being an unappealing option to me.