Are there weapons that won't work in the void?

Autoguns will not unless they are using void rounds or you rule that their ammunition does not require the presence of oxygen to function. Any sort of primitive ranged weapons that rely on gunpowder will of course not work. Grenades and other concussive weapons will have their effectiveness vastly reduced as well, although the shrapnel that they create from exploding will remain lethal and spread much further than in atmosphere.

Shotguns too?

It all depends of the type of powder in the cartridge. Some compositions can burn in the vacuum, some cannot.

That's why I specified the whole "void rounds" thing, since the game doesn't specify them anywhere else. In the end its up to the GM of course, though it does stand to reason that in 40k most powder would not require the presence of oxygen considering the fact that the worlds of the Imperium are so varied and having an oxygen-rich atmosphere is by no means a given.

As such I would say that you should go case by case with this, considering the homeworld the weapon's ammunition came from and its technology level.

unless they are using void rounds or you rule that their ammunition does not require the presence of oxygen to function. Any sort of primitive ranged weapons that rely on gunpowder will of course not work

The fact is, however, that both black powder and cordite (modern-type smokeless gunpowder) do not require external oxygen to fuction - oxidizer is already part of it's composition.

So - solid projectile firearms as well as lasguns most likely would work in airless environment with most likely even a boost to their effective range.

PS: On the other hand, flame weapons wouldn't most likely function in vaccuum and I am still not sure about the plasma guns.

Plasma gun is a miniature stellarator + linear accelerator so must work in the vacuum without any problems.