I'm tired of GrimDark. Not only is it overdone, but it tends to give you no where to go and really starts to strain suspension of disbelief after a while.
As a case in point, 40k. There was never anything about the story that drew me in, even when I was playing I could hardly care because they had completely lost any sense of believability in the setting. But more so than that, of the people I know that like the 40k fluff about all they ever talk about is the Horus Heresy. The most interesting and engaging part of the setting was 10k years before the current timeline. When GW wanted to "expand" and do things a little differently they didn't take the timeline forward, they went backwards. They wrote themselves into a corner where "forward" doesn't actually seem to be an option.
What I want is a setting that makes sense and works. That doesn't mean realistic, I'm very happy with many settings with supernatural or completely sci-fi based things going on, but they have to be consistent to themselves. They have to be set up in such a way that if it were true then the entire population of the planet/setting would not be dead in a very short period of time.
I want this to be a human based setting. Even if there is an alien presence or supernatural forces/powers they should be an influence on some events rather than some omnipresent entity behind everything good or bad that is going on. They can be part of the story, but the story isn't about them.
Take all sides of humanity into account. There is good and bad, there is bad that comes from good and good that comes from bad. There are voices of moderation as well as of extremes. Make the settings and the people nuanced, give them depth. Despair stops meaning anything when there is no hope. There is joy in victory even if it isn't the end of war.
As mentioned above, make it very clear where real world and the game have diverged. Give some reasonable reasons why and how things are different because of it. Don't just hand-wave large portions of history because they are difficult, put some effort into it, make it at least somewhat believable.
Diversity *should* be easy, you've got the entire world to work with, which is of course self-defined as everyone is there and involved. Write from multiple view points, don't have "these are the good guys and these are the bad guys."
Put some originality into it. It is of course hard to be totally original, but the main characters and leaders of each nation shouldn't just be a re-skin of the various tropes out there. I shouldn't read about a character and be able to say to someone new to the setting "this guy is exactly like X from setting Y, but with a different name."
It is ok to have a little fun with things too. We don't need Deadpool but an acknowledgement of the MST3K mantra should be there.