The joke is that the 40k game is set in the far future which kinda blends scifi, horror, and fantasy elements. It's not very popular so to play it with high quality components, you need to craft them yourself.
D&D is super popular, so it's easy to pull premade resources.
Vampire the Masquerade is set in modern day, so you don't need anything crafted.
TTRPG = Table Top Role Playing Game
DM = Dungeon Master, which doesn't technically apply to a Warhammer 40,000 game, they're usually called Game Masters in anything that isn't D&D
RL = Real Life
My character has an 18 strength.
DM) ok, roll dice to force the gate open.
My character has an 18 charisma.
DM) ok, it only works if you personally also have an 18 charisma and can act it out.