Hey Song! Long time no see! Let's see, uh… well. Let me start off by saying I don't mean to sound like your presence would be anything short of welcome. If you really wanna join, I sure as heck won't be turning you away. As for being lost? Yeah, I can imagine that'd be the result for a newcomer to the setting. It's not just any sci fi setting, but Warhammer 40,000; one that's rife with minutia, history and variety. That said, playing a the sort of character you suggested would be perfectly doable. The Imperium of Man spans over a million worlds, many of which regressed technologically after humanity seeded them with colonists, resulting in stone-age, medieval, or even gunpowder age societies growing on planets that are part of a futuristic galactic empire. As a result, their citizens tend to either stay on their homeworld and never experience the wonders (and more bountiful terrors) of the greater galaxy, or get taken up into the stars and introduced to the terrible and complex truth of what the average human experiences beyond their little planet.
If you prefer fantasy, A Grain of Sand is still active, just on the cusp of a big story arc, I believe. Woman of Faith and StarSplitter can better help you there, though. Star GM's that thread, and I'm GMing this one.
Let me know if I can be of any help in making a decision or learning more! Any chance you can highlight what has you feeling lost?