Creating the W40K folder structure is fine and normal. One thing I did just notice, though, is that you missed a layer out in both of them. It should be:
Dark Crusade/[W40K or DXP2]/
data/art/ebps/races/space_marines/texture_share
Add the "data" folder in and it should be fine. I think the only difference between using W40K and DXP2 is that W40K is loaded by all mods since it is core DoW while DXP2 is only used by DC mods (which is all of them anyway, but you could get a situation where it isn't).
If that was just a typo, then it could be that DoW Pro is setting the textures itself. The way Dawn of War data loading works is that it starts at the deepest requirement (W40K) and loads from there. It then overrides any values in there with stuff it finds in DXP2 before overriding that with stuff it finds in the mod. So, if DoW Pro have retextured the models (or used the Closer to Codex models) then it is possible that your textures are just being overridden.
If you want to make sure they're working for a given mod then back up the mod folder and put the textures in the "space_marines/texture_share" folder of that specific mod