Now, I don't own every book, so I may have missed this somewhere, but I know a few other roleplaying games introduce the idea of combat styles (the Ranger of D&D fame being the most classic example), and I always felt like it added some extra depth to a character alongside a few mechanical advantages. Do you guys think that WH40KRP (any of the games) has room for rules like this? Or would they just bog down combat or add mechanical advantages that are too minor to be worthwhile?

There is some of this idea added into publication I posted called Advanced Dark Heresy - Game System and Armoury

The effect however does not come from the class of character, but instead from altered nature of combat actions added together with plentiful modifications to weapons and armour allowing a lot of choices where one can actually choose gear to fit into various different combat styles.

THe publication is large due to the need for modifying whole armoury, but I think it might grant into the game the flavour you were looking for