Yeah, I guess in CoC it is set in the real world so odd behaviour by definition is madness whereas alot of the normal characters in WH40K would be considered psychotic by modern standards.
I don't really get this. Granted life isn't worth a whole lot in the 40K setting, but people are still human beings in the setting. Behaviours considered psychotic by CoC standards, generally would be by 40K standards as well. Indeed, 40K is a much more heroic setting than CoC. PC behaviours should have a far stronger tendency towards heroism, self-sacrifice and martyrdom in 40K.
The one thing I can see is that in CoC losing sanity is a process that speeds up with time. The lower your sanity is, the faster tou will lose more sanity.
Whereas 40KRPG works the other way. As you become more insane, you become more resistant to fear (and hence madness).
A simple mechanic I like, is to add a cumulative -10 penalty for every previously failed Test, and add a cumulative +10 bonus for every previously successful Test. In our games it doesn't have much of an impact on how things actually play out, but it gives a (mostly illusory) sense of consistency that we've found somewhat lacking in RAW.