In the Space Marine Codex, the Thunder hammer has the Concussive rule, allowing it to force the model it hits to Initiative step 1 during that Assault Phase. However, it also has the Unwieldy rule, meaning that it hits on Initiative step 1 in the first place. Is this some sort of hiccup in the rules, or am I forgetting something?
It's not a hiccup, p48 of the main rulebook covers this. In short, it means that both combatants have their Initiative reduced to 1, which in turn means that they are striking simultaneously.
And to clarify, Concussive reduces the opponents Initiative to 1 for the next assault phase. So if a Thunder Hammer + Storm Shield terminator were attacking a model with Initiative 4, combat would go something like:
Round 1: Initiative Step 4: Opponent Attacks, no wounds Initiative Step 1: Terminator Attacks and wounds (Initiative 1 due to Unwieldy)
Round 2: Initiative Step 1: Opponent (Initiative 1 due to Concussive) and Terminator (Initiative 1 due to Unwieldy) attack simultaneously (which means that if the opponent rolled first and killed the terminator, the terminator would still have the opportunity to roll and attack before being removed).
Edit: From the BRB, Concussive:
...a model that suffers one or more wounds...is reduced to Initiative 1 until the end of the following Assault Phase...