CSM are also a marine army, yeah.
Speaking of being in over their head, one of the things I have found that I really like about Wrath and Glory compared to the FFG40k RPG's is that the party doesn't start as incompetent at everything, and are at least what is expected of a baseline unit of their faction.
A character in the deathwatch or taken as an acolyte is a veteran of their organization, but at character generation in DH & DW, you'd be lucky to be as competent as a basic trooper. The most egregious case is the Sister of Battle class in 2e, who starts as some kind of initiate, not even a base 9 point BSS.
I think it's really nice that the classes are literally the codex troop entries in W&G, so it's very easy to start as at least a competent private and develop from there.