[Hoo boy, grab a snack. ] The Warp, in ancient, ancient history, was the sea of souls, where all souls of all beings went when they died. But then three Chaos gods were formed, due to the nature of sentient beings. Anger, arrogance, and disease. They turned the peace of the sea of souls into an awful place, of suffering and perversion. It bleeds into our world in different places, where its Chaos can spill through, to corrupt and take more souls for itself.

[That's the short version and he hasn't even gotten to Slaanesh yet.]

Many baselines have not yet heard of it. Ignorance of reality does not make it untrue. [Sorry, but he's a religious warrior and this is his creed and he's gonna believe it till the end of time.]