I think the problem with the application of the Art of War makes an assumption that is so generally considered to be true that to be handed a scenario where it is not is so laughable we simply ignore the obvious. In order to win a war by the means Sun Tzu describes requires several things:
1) The possibility of interrupting the enemy's means to engage in a war by strategically targeting logistics centers
2) An enemy who is willing to accept surrender
3) Possession of the means to defeat the bulk of an enemy force in open battle.
I think you'll find in 40k that none of these things apply. For example, consider the major groups in the universe:
Imperium of Man
1) Production and distribution is spread across countless thousands of worlds. The sheer size of the Imperium means that utterly disrupting their supply lines is impossible. It is possible on a smaller scale sufficient to seize a star system or even a cluster but to disrupt the supply lines as a whole means attacking thousands of the most defended worlds in the galaxy simultaneously.
2) While some elements are willing to surrender when pushed against the wall, generations of indoctrination and countless control mechanisms exist to ensure that humanity as a whole would have to be facing imminent annihilation for surrender to even exist as a concept and even then there would still be enormous parts of the imperium that would not surrender until the last round was fired and the final defenders drew their last breath. The Space Marines, for example, operate under the assumption that, at some point, it will come to that and they shall be the final champions for the very soul of mankind.
3) With over a million worlds many of which are defended by more firepower than the entire planet earth has seen in millenia of combat few enemies in the universe have the capacity to defeat the Imperium as a whole. The only thing that saves most of the enemies of man is the simple fact that it is incredibly difficult for the imperium to mobilize any significant portion of it's fighting force at a moment. But a giant of this size is not easily bled dry as noted by the simple fact that forces have been trying to do this very thing for ten thousand years.
Chaos
1) While they rely heavily on mortal avatars, the primary seat of power of chaos is all but unassailable in the warp.
2) The forces of chaos have never been successfully threatened by any force. They have, in fact, managed to kill other gods with relative ease. Since no force has ever managed to truly threaten the dark gods, what cause would they ever have to surrender?
3) If you cannot attack the dark gods and you cannot seize their means of production, the only hope to defeat them is to stamp out strong emotion and aggression - something that doesn't seem likely given the course of the last 38,000 years.
Tyranid
1) Their supply lines are your supply lines. Any victory on this front is the very definition of Pyrrhic.
2) They are without number and fear. They are incapable of surrender.
3) Again, they seem to be without number. It matters little how many are destroyed if there are always a billion ready to replace the one you just shot. All you can seemingly do is hold them back.
Ork
1) Their supply lines are your supply lines.
2) A complete lack of any central organization means getting any significant portion of them to agree on anything, especially surrendering (when all they exist to do is fight) is impossible.
3) They are spread across countless worlds and breed rapidly. The only way to defeat them entirely across the galaxy is to glass every planet in the galaxy. Even then you couldn't be sure given the number of them floating around on mobile asteroids, hiding on space hulks or stuck in the warp.
Tau
1) Their supply lines are relatively vulnerable but they are sufficiently guarded that doing significant damage would require more effort than most powerful forces could spare. Being a small fish with a very nasty bite has advantages here.
2) They might be willing to surrender given the right conditions but that implies a power was willing to invest the resources to do the job. The imperium tried and had it's nose bloodied for the effort and while the imperium has the firepower to do the job properly, strategic concerns mean it is unlikely they will muster the necessary firepower any time soon.
3) Defeating the Tau would simply require an enormous investment in firepower. There are races capable of this in theory but the reality is more complicated. The Orks wouldn't cooperate on such a large scale venture, the Eldar are too few to risk such a slaughter, the Dark Eldar generally prefer a less even fight, the Imperium is busy elsewhere, the Necrons are still few and rare and the Tyranids do not seem terribly interested.
Thus, the general conclusion I can come to is simply that the theories in the Art of war are only applicable some of the time at best and even then only in battles of a limited scope and scale. For example, the war for armageddon. The Ork hoard was occupied with the siege of a particular hive for so long that reinforcements finally arrived. This is a rather classic strategic gambit and demonstrates the purpose of a defense in depth: the defenders held until the conditions for a renewed offense were set. In this case, those conditions involved the introduction of significant reinforcements. Basically, the enemy was forced to commit to a task and once committed, their own goals would not allow them to move elsewhere. The enemy was drawn out, held in place and destroyed in depth as a result.
