Gay Characters in 40k
Yup. It's mentioned briefly in Yarrick: Imperial Creed and is completely inconsequential to his character or anything he does, much as the sexuality of any 40k character should be. Ignore the rumours , the one and only Commissar Yarrick is back. Actually, there are two of him — and loads of other classic Astra Militarum characters, who are all returning soon on a Made to Order basis.
40K Theories
Sebastian Yarrick, the " Hero of Hades Hive," is a commissar of the Officio Prefectus, famous for his involvement in the Second and Third Wars for Armageddon in the last century of the 41st Millennium. There he fought against the forces of the Ork Warlord Ghazghkull Mag Uruk Thraka. Commissar Yarrick is a character of the Astra Militarum faction. Fighting through pain and shock, Yarrick beheaded the Warboss and took that same klaw as his own. Yarrick's cause of death is unspecified
The only "example" I've heard of is Commissar Yarrick but that's just a silly meme and not confirmed in canon, as far as I know at least. I mean an ACTUAL example of a gay male character. You have withstood the evil savagery of the Orks, and they have nothing left for you to fear. So raise high the black banners of vengeance -- now it is our time. 
Are there any examples of gay male characters in 40k lore
My general take on the matter is that sexuality, like skin color, is pretty unimportant in most 40k societies. Not to mention relatively few authors dive into romantic relationships in the novels. .
Sebastian Yarrick
Malgra the Kahardron/Duardin is one of the pregen character options in Soulbound and is nonbinary. Isn't Commissar Yarrick also canonically gay? I'm not sure what books he's in or whether he's just a game model. . Updated
Nope, in fact a couple of the characters, such as commissar Yarrick are gay. Little things like sexuality don’t matter to the imperium, only your willingness to die for the Emperor is. . Yarrick
In a discussion some time ago here, it was mentioned that Yarrick had had a relationship with an older (male) officer, and that this was mentioned in Yarrick: Imperial Creed. . 
The Most BADASS Old Man to EVER Live!
This anticipates the question as you’ve set the rules to be “the bus didn’t hit him because of his sexuality so why did we need to learn he was gay?” The answer is that he wasn’t gay for dramatic irony. .