and WoD is World of Darkness, the 'master' setting that the various vampire, werewolf, changeling, mage, promethian, hunter, etc. games are set within.
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.