I kinda like some of the character creations actually being in the one shot. Most of the time the background creation actually cements in parts of the world, which is cool.
Sure, some shows like the Grim have to do it offscreen because 40K is such a flippin huge background canvas to work in and it takes a while to move through the story, but for the most part it doesn't seem that bad.
To me, the point of the one shots isn't to make a good short story or novella, but to simply tell what they can of a story. Sometimes that means a neat, wrapped up little 3 issue comic arc. Sometimes it's Angel where you end on a cliffhanger as he charges the dragon.