[@Torack] Yes, the Warp (or Immaterium) is quite literally an undercurrent of our own universe - like if you were to cut a hole in the top of a box, fell into it, and found yourself in an entirely different universe. Or, if you're more spiritual, how some people think of 'another side' right 'beside' our own.

The Warp is quite reasonably described as Hell itself, ships having to rip a hole in the fabric of space and slide through it using the Navigators to guide them... and [b]still[/b] with the possibility of coming out at a different location, point in time, or never coming out at all.

Imperial vessels also use what's called a 'Gellar Field' as a form of protective bubble around their ships during Warp travel; without it things can get [b]in[/b] to your ship just as readily as you want to get [b]out[/b].

T'au on the other hand do not use Warp technology, their ships doing long-distance jumps by 'skimming' the surface of the ethereal ocean like stones.

Orks... Well... Orks thirst for battle and carnage like the fungal virus they are, and therefore don't bother even using protective shields when jumping - what would be the point, Daemons make for good fighting!

This meme also explains it well, and makes me laugh: https://knowyourmeme.com/photos/961046-warhammer-40000