If I may push up my proverbial nerd glasses a bit, bolters having cased ammunition *does* make sense from an in-universe perspective. First, a disclaimer: The reason they have ejection ports is because the original models had them, either due to not understanding how they worked, or because they looked too weird without them.
HOWEVER.
Real-world gyrojets have several issues, but one of them is that they lack power up-close, as the motor hasn't yet had time to accelerated the projectile. Adding a "kicker charge", i.e. a small conventional powder charge to a gyrojet-style projectile that only *then* accelerates for better terminal effect and range is surprisingly sensible (if horrendously complicated from a technical standpoint). GW being GW, this isn't exactly consistent as I've seen bolt weapons being described both as more-or-less standard gyrojets, and this two-phase system, but I would chalk that up as sloppy editing.
This doesn't address the issue of cased vs caseless, though. In reality, an issue with caseless ammo is heat buildup. All the heat of gas expansion remains inside the weapon upon firing with a caseless round (as there is nothing to eject but hot gas, which should be equivalent between cased vs caseless). An empty case, however, could be considered a very small ejected heatsink, as the brass contains some of that heat and is very physically removed upon firing. Heat buildup would be most noticeable in low-atmosphere environments, like space. Which might be a relevant area of combat methinks.
The inconsistencies of their portrayals could be chalked up to GW incompetence, sloppy editing, confusion among writers, ignorance of the mechanics involved, or regular space magic. The last one feels like a cop-out, when there's a surprisingly reasonable reason for the cased two-stage concept.