Not sure about mainline 40k. But for Horus Heresy (official 40k spinoff of an earlier edition) there was an absurd amount of free or borderline free (think 5$ for a set of files to print an equivalent unit box that would have cost you $60 from GW, but you can print as many boxes as you want) community created content for resin printers. Not just units or vehicle models but also mix and match bits similar to what you're talking about (helmets, arms, legs, torsos, weapons, to customize both official and unofficial models). I remember being blown away by how many of the models were on par with or even better than what GW was offering for a fraction of the price. If you had or knew someone with a resin printer you could print 400-500$ armies for 20-30$ of resin. Most of the group I played with had at least half of their army printed out. And in a lot of ways it's "truer" from a hobbyist point of view because instead of buying a box of generic troops from GW and painting them according to their faction you could wildly customize beyond what the official troop boxes came with with printed bits and greebles. Some people came up with really creative and impressive stuff.

I always figured Lego was the way to go here. But Hasbro would never be dumb enough to license those properties.

It would be cool however if someone took a standard Lego set and rearranged the pieces into a number of units. So everyone knew if you wanted a DingleHopper you would buy this kit and get one DingleHopper and three Jiggamadoos, and trade those to your friend for a pair of Whatsits.