Its funny that where you find the Imperium to be the least evil, I find them generally the most reprehensible of all the 40k races.
I wonder why that is.
Well, let's see what other merry men populate the Warhammer 40K universe:
Eldar: Their depravity and excess caused the birth of a Chaos God and put and abrupt and violent end to the Golden Age of Technology, also causing a massive rift in time and space that threatens to engulf the galaxy. As they are now, they care absolutely nothing for anything that isn't them and are just as xenophobic as the Imperium, perhaps more so, but while the Imperium's xenophobia stems from fear and ignorance (some would also add prudence), Eldar xenophobia comes from pride and vanity. Simply put, if you aren't Eldar your life is worth less than nothing to them.
Dark Eldar: The Eldar are bad enough but at least they cooperate with each other and are actively working to self-sacrifice to destroy Slaanesh. Sometimes they even seem to strive to preserve the stability of the Galaxy. Not the Dark Eldar. They just wallow in the very same depravity that destroyed their race and predate on every other living thing for their own perverse amusement, including each other. In fact, their society is in fact so self-destructive that they need to resort to mass cloning and necromancy to sustain themselves. Everything that is wrong with the Eldar, the Dark Eldar crank it up to eleven.
Orks: Orks are war. They do, think and know nothing but conflict and the concept of peace is completely alien for them. Everything in their path gets brutalized and stomped to death or gets enslaved for a short but extremely painful time. They have no culture, no civilization, they're like a horde of very angry locusts.
Tyranids: And speaking of angry locusts, the Tyranids are the bane of everything that is. Their victory would mean a galaxy left barren and abandoned as the swarm moves on. I wouldn't call them evil. They're beyond good and evil, but that is little consolation for whoever gets nommed by them.
Tau: The Tau seem like the closest thing to "good" in the WH40K, but that's because they have good PR. In fact they have a "with us or against us" mentality, and though they ask nicely at first, they won't take no for an answer. Also they say they have "allied races" but that is a lie. Their "allies" are not part the Empire but slaves of it. The Tau probably wouldn't let them leave and they have absolutely no say on Tau politics and large scale politics and are often used as cannon fodder so that the Tau themselves can minimize their own casualties.
Necrons: I'm not that familiar with their retconned nature, but I think that they're still completely antagonistic to everything alive in the galaxy. I think that now the Lords are like insane AIs, working on long forgotten protocols and patterns but still omnicidal to everything and everyone.
Chaos: Chaos is pure entropy, corruption and slavery to eldritch horrors that wan't nothing more than to extend their own domain, invade the real world and drown it in a tidal wave of horror and dispair. Really, I shouldn't even need to explain why Chaos is bad.
Compared all of this I don't think it's that incredible to find the Imperium as the lesser evil.