Warhammer 40K has always projected a sense of immenseness, where the individual is lost in the masses. The Imperium does not encourage individualism, so there are adventures a plenty, but not for an official agent of the Empire. The two exceptions to this rule are the Inquisitor, and the Rogue Trader.
The original Warhammer 40K rulebook describes the Rogue Traders as follows;
Rogue Traders are individuals who have reached a position of power within the Imperial hierarchy.
Then the book goes on in the same paragraph to say;
Rogue Traders have a reputation as outcasts; many are people whom the priesthood deems better kept at a distance.
The section goes on to describe the equipping of a Rogue Traders as;
Retinue. Rogue Traders do not take to the empty voids of space alone-each commands a small fleet, a contingent of warriors, settlers, and all manner of support personnel. With them go supplies to last for several years, vehicles, prefabricated research stations, housing, transport, weaponry, etc. Atypical retinue would be an entire company of space marines, (100 warriors,) plus two companies of ordinary imperial troops, all with standard vehicles, and auxiliary equipment. These can be generated in the normal manner, should you wish.
In issue #19 of the Battlefleet Gothic Magazine, the vessels are described. Each Rogue Trader gets a "Rogue Trader Cruiser" as a flagship. The rest of the fleet consists of escort class vessels, which include armed freighters, auxiliary vessels, and recommissioned (stolen) Imperial vessels. Also included are vessels from races the Trader has encountered, referred to as xenos vessels.
This does not lend itself well to conventional role playing, where the characters start out as a group of hay seeds that just rolled off the turnip truck, and work their way up into heroes. It could be used as a basis for a game about lords, and generals. Such a game would be difficult for the average gamer. It would require less "roll" playing, and more "role" playing.
The most important element of a game is independence of action of the player characters. In order for a Rogue Trader to have independence, is for them to have a ship. One of the problems with the ships is that they are MASSIVE! The humble little Cobra destroyer is tens of times bigger than the mighty Battlestar Galactica. The starship Enterprise, NCC-1701, could be carried as a shuttle craft. Only the Imperial Star Destroyer, from Star Wars is a vessel of comparable size.
In most RPGs, there is what are referred to as "Adventure Class Starships." These are vessels that are small enough to be crewed by the player characters. Some examples of these are the Millennium Falcon, from Star Wars, the Serenity, from Firefly, and the Jupiter II, from Lost in Space. In Warhammer 40K, there is no real tradition of this kind of vehicle.
From reading the sample adventure, "Forsaken Bounty," I sense that Fantasy Flight Games is changing the Warhammer 40K universe to fit the standard RPG universe. There are two points that lead me to this conclusion. First, adventures are referred to as "Endeavors," which sound like "Missions" to me. Second, the Rogue Trader had to get permission to salvage the Emperor's Bounty. The purpose of giving a Trader free reign is so the Imperium has the benefit of an element that is unpredictable. Having the Trader on a leash defeats that purpose.