The fictional Imperium of Warhammer 40,000 seems way too big to be sustainable in the real world. I think that it might work our for a while, but eventually the people would rise up and figure out a way to overthrow the government. Plus the whole idea of everyone connected doesn't seem real.
History has plenty of examples. Small empires will get taken over by larger neighbors. Large empires, on the other hand, are difficult to control, especially on the outer fringes. Distance from the central government prompts rebellion and resentment.
An empire also has a tendency and need to expand. Expansion causes problems, breeds more resentment, and increases management difficulties. Inevitably, the Empire's expansion would stop, and collapse on itself.
Moreover, power struggles, corruption, cults and competing organizations will always weaken an empire, if not outright destroy it from within. From without, there is always the threat of attacks by rival nations.
In addition, the larger an empire, the more intricate a management system is needed. The more intricate a system, the greater chance of failure that would lead to its fall.
I do not think that the fictional Imperium of Warhammer 40,000 is too big to fail. I think that if it does fail, there isn't going to be anything too major in terms of it failing. I think that part of that reason, too, is because it's just make believe and some people shouldn't take it too seriously.
The Imperium in Warhammer 40k was the large collective efforts of humans to take over the realm in the game. It was not the largest of the empires though. The Orkz outnumbered the Imperium exponentially. Aside from that, the Chaos fed on the Imperium. The larger the Imperium, the more fuel for the Chaos machine. Chaos followers were much harder to kill as well. Without the classic multiple front mistake made by the chaos, the Imperium would have most definitely failed. The Chaos was just not organized enough to stop picking fights with the other factions like the Orkz and Eldar.
No, I do not think that any government or country is to big to fail, even though this one if fictional. Just when this government thinks that they have everything under control, a different nation can step up and take over in the blink of an eye, they are never to big to fail.
No, the fictional Imperium of Warhammer 40,000 is not too big to fail, because any time there is centralized power, there will be someone to take it over. People, and possibly aliens will be just as greedy for power, currency, and influence, as humans are today. With poor management, it can fail just as easily as an earthly government.