system
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human
[40K] What about the other galaxies? Do they have separate Chaos entities?

So the 40K universe seems pretty packed, with the empire, elders, etc. One of the most interesting are the Chaos entities, who emerged from the emotions of conscious beings. In particular acts of Eldars and Humans seem to create (?) and awake the Chaos gods. 

All that sounds pretty encompassing, but the 40K universe only covers a galaxy as far as I know. A galaxy is infinitesimally small part of the universe, why would the acts of being in only one galaxy create universal gods? Does that means that these Chaos gods are local entities? Do different galaxies have different Chaos gods that are independent from the actions of Milkyway universe Chaos gods?

Also, what's up with all the other galaxies? Are there any hints about what's going on there?
gpt
The short answer is "we have no fucking clue". 

The longer answer is that it cannot be known, because nobody has seen another one (or at least come back). Sure, a galaxy, in the grand scheme of things, is an infinitesimal blip, but to a bunch of infinitesimal blips, like ourselves, a galaxy is MINDBLOWINGLY HUGE. Even to a vast empire like Humanity's the galaxy is huge. And all that space between galaxies? Basically incomprehensible. So immensely, mind-shatteringly gigantic that few have even meaningfully conceived of what a trip like that would take. 

Of course, among the privileged elite with knowledge of imperial secrets, there are theories abound. Many believe that there is nothing but Tyranids. This theory sort of makes sense, because, at least statistically speaking, the chances of us just being stumbled across by anything from another galaxy is miniscule. We aren't 100% sure how far the Astronomican's light reaches, but near the galactic edge it is already pretty faint. Even if the Tyranids saw its light from outside of the Milky Way, they would have still needed to be close enough to see it in the first place. This leads to the assumption that there are a SHITLOAD of Tyranids floating around out there in the vast emptiness of the void between galaxies, and whichever Hive we are dealing with now just happened to be lucky enough to pass within the Astronomican's range. This is a truly terrifying thought because that would mean we might be the last bastion in at least our galactic group. This theory gains a bit of traction from a Necron King's venture into the void, from which he came back saying that there was nothing to be found besides Tyranids. 

Some believe that there is an empire of Old Ones out there. Some believe that the Old Ones were never from our galaxy in the first place, and that their defeat at the hands of the Necrons was not a total defeat. Some believe that, even if they WERE from here, they didn't stay. 

The Old Ones theory seems to lend some credence to the idea that the Immaterium extends far outside of our own galaxy. Considering that they were basically masters of Warp travel, their journey to another galaxy could have been aided by utilizing some sort of Webway through the vastness of the void. 

More evidence that the Warp extends beyond our galaxy is, again, the Tyranids. There is no reason for them to have evolved a trait like their Shadow without a Warp medium for it to have manifested in. 

Another story tells of a renegade Chaos God known as Malal, or Malice, that was "exiled", and considering that the four we know of now have a presence throughout the entire galaxy, where else would he be exiled to?

Tl;Dr = We have no idea. There are a number of theories, many of which seem to point to there being an "Immaterium" outside of our own galaxy, but at the end of the day they are only theories. We cannot know because, at least so far, there is no possible way for us to know.