It is my belief that Sigmar is ineed one of the lost primarch from 40k thus making the warhammer 40k universe linked to warhammer fantasy.
The following are facts that reinforce my theory:
General- Chaos exists both in Fantasy and 40k
General- There was 20 primarchs created. 18 were found. 2 were lost.
40k-The chaos Gods learned of the Emperors creations (primarchs) and tried to convert them. Chaos was unable to convert them at that time and so spread them throughout the corners of the galaxy through out space and time.
40k-Slaanesh was born during the end of the age of strife (started in the mid to late 26th millenia) which was around the 30th to 31st millenia. With the coming of slaanesh the eye of terror was born. The warp storms lasted about 3000-4000 years. Right after the emperor establishes his dominion over earth and makes the primarchs.
40k- Every primarch was "born" under a comet.
40k-Warp Storms ravaged the galaxy during the age of strife.
Fantasy-With the polar gateways collapsing in the warhammer world chaos makes its first appearance. This is known as the first incursions of chaos. Sigmar is born 4500 years later.
Theory- Slaanesh was the cause of the disturbance of the polar gateways. If so then obviously it would fit with the birth of sigmar and the births of the primarchs.
Life of Sigmar- Sigmar is said to be BORN under a comet. The verb BORN was used for other primarchs. It would be bad in the world of warhammer to tell someone that you adopted a child that came from the sky. In a world like warhammer the tribal leaders would have killed the child. He could have had foster parents that hid his identity. I believe there were a few primarchs that started out this way. Leman Russ for example.
Albion campaign- At the end of the Albion campaign there were questionable items won by the Dark elf army that had 40k wargear like descriptions.
Fantasy- Polar gateways
40k- Some planets still have archaic Gateways built by the Old ones. The Eldar have Warp ways that somewhat accomplish the same function but work completely different than the older gateways.
40k and fantasy- Old ones and Slaan are synonamous between fantasy and 40k.
40k- The Elves were created by the Old ones to combat the Necrontyr and Ctan.
Fantasy- The elves were the first race to be appear on the old world.
Fantasy and 40k theory- For some unkown reason some of the elves were brought over to the ulthuan kingdoms by the Old ones. This was about the time period that the Eldar in 40k were having dispute with the old ways and the new ways of pleasure soon thereafter the age of strife begun. I believe the Slaan did not anticipate this and were hoping by segregating some of the elves so the contamination would not spread as much. Soon after the first incursions of chaos the war of the beard ensued and the Dark elves emerged.
40k and theory- The slaan still exist but are not numerous and do not hold the intelligence they once had. However it is my belief that the Slaan still had some intelligence before the age of strife, and when the age of strife occured that is what made them lose their intelligence. The Slaan were masters of the warp before the warp storm were brought on by their very own creation. The Eldar.
So what was the purpose of the Slaan? Well the Slaan created the Eldar and other sub races like the orks to combat the menace known as the C'tan. However it is my belief that the Slaan did not know the full ramifications of bringing such beings into the universe (The Eldar effectively killed off the Slaan's greatness by severing the stability the Slaan once had over the warp) and therefore created the warhammer fantasy universe to study each race. However, the humans were not created by the old ones.
I do apologize in advance for having these facts in no apparent order. I wrote them in a very half way. hopefully it is still interesting.