You've met them, haven't you? Some of them are known as Servants. Oh, they serve various purposes. But when humanity's collective unconsciousness becomes threatened, legendary beings who have formed a contract with that same unconsciousness are summoned to protect humans from the threat. Your Emperor and Primarchs that you speak of, after their death, I guarantee they will become such beings. Except they will be nigh unkillable, backed by the formerly dormant power of humanity.