Go to any CoC website, and, just for laughs, suggest running a campaign that is geared toward hunting down and killing Cthulhu. I guarantee that the response will be... spirited.
Well... yeah. Even as someone who doesn't play the game and has little interest in the mythos, I know that Cthulhu is a nigh-invulnerable god and a constant theme of the setting is the irrelevance of mankind in the face of far greater forces - and the rule mechanics represent that general hopelessness (with death or insanity being far more likely than success). So it does seem rather at odds with what the game is intended to do.
I'm vaguely reminded of the analogy I use when people insist that Inquisitor is a clunky skirmish game - "Yes, in the same way that a boat doesn't drive well on the road - it's not meant to".
Other systems, such as post-Gygax D&D seem to take a much more "do your own thing" approach.
Well, D&D is more a ruleset than it is a setting - fairly DIY fantasy based around generically mediaeval themes. While it does have official settings like Greyhawk or Forgotten Realms (depending on which edition you're playing), things actually tend to get fairly strict within organised play campaigns (broadly analogous to what GW did with global stories like Storm of Chaos or Eye of Terror). Run only these adventures, characters are limited to these classes, etc... that's exactly the kind of thing I don't enjoy running as a GM.
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Actually, I personally find Inquisitor players to be generally open-minded. I mean that in the sense that they're prepared to consider a good argument (not the sense that they just accept anything) - the right background explanation can justify a lot either as far as fluff or rules.
As an extreme example, one of my WIP characters is a Mars pattern Warhound,
Leander. But I've actually put a lot of thought into how and why a Titan and her crew might be involved in an Inquisitor story*, as well as developing an in-depth background for her (and her model should be pretty awesome**) so the response to the project has mostly been pretty positive. Okay, people still think I'm completely insane, but they don't want to kill me, and I will be able to find players when I GM games with her.
*Oddly, I've found that I can better justify something as powerful as a Warhound in Inquisitor than I can something like a Leman Russ. A tank isn't powerful enough to be a major plot element in a campaign - but a Titan is that important.
** She is actually more of a display project than a game project - I've long loved the Mars Pattern Warhound, and thought a 54mm scale build would be suitably impressive.And that sort of makes sense to me. Inquisitor is a fairly unfettered game, doing without army lists, points values or XP, so players have long had to work on a principle of mutual agreement and cooperation - something that naturally requires discussion.
This worked out quite well, though it was very different from the typical 40K daemon summoning.
Well, I'm not sure how typical any daemon summoning can be seen to be. The warp is involved, after all.

It's an interesting idea, although with daemons and their plans I like to sow a little doubt about reality. Did things really happen like that... or is that just how the daemon wanted you to think it went? An entire meeting with a daemon could easily happen within the depths of the mind, or as a cheat of the senses - particularly if dealing with a novice warp dabbler likely to make mistakes.
Not that I'm suggesting "it was all a dream" as an approach - a meeting with a daemon can be real even if it never happened.
Anyway, I'm probably rambling, as I'm tired, so I'll shut up.