Yeah - but thats because in most (not all!) situations, a failed charm or knowledge test will not be as bad as a failed evade test.
You might get a second chance on a bad first impression - but a bullet to your head wont give you the same favour.
This more or less sums it up. As someone put it, your ability to play a certain character is predicated on that character not dying, and as such, it's natural for people to take precautions against death.
This tends to get either downplayed or exaggerated by how much the system is perceived as violent and lethal. 40k, being a cross between Call of Cthulhu and Space D&D, is (rather accurately) perceived as very lethal, and as such, people are extremely prone to invest in character survival. At the same time, it's not exactly against the feel of the setting for people to be paranoid and combat-ready regardless of their occupation, so the phenomenon is less disruptive in 40k than it is in many other games.