At some point during your journey through the galaxy at the beginning of the third act of Warhammer 40,000: Rogue Trader, you will encounter a problem. The Lord Captain will go (by event) to his personal chambers and will sit at the table. Nothing will happen! Rewind the cutscene by holding Enter.
Now, if you go to the exit, there will be nothing there (interaction points). Instead, save and reload (eg F5 and F8). After this, an exit point from your personal chambers should appear! Perhaps in the future the developers will fix this problem.