Exactly. So if after my players win Quest 14, I want to say the Witch Lord is really defeated for good, and from now on the Orcs are being reformed and becoming good citizens of the Empire, but the new threat is coming from the Space Demons... I can do that, and if it's fun for them and for me, where's the harm?
I can see value in both extremes... and being in the middle.
Yes, there is something to be said for wanting your franchise to "look good" out of the box. You don't want them to wildly contradict stuff (unless you thought that stuff was crap to begin with.. though that can kill the nostalgia buzz) and introduce stupid things for no reason. But even if they do, you can still fall back on the older stuff that didn't suck. Keeping the fans reasonably happy is part your job when you're re-releasing or adding to a beloved franchise with an existing fanbase.
I read a great article on the convoluted and bloated (and ever shifting) nature of the "Star Wars canon" on another forum. I was reminded of how a lot of that stuff was made up (sure, some of it was based on old script drafts, un-used concept sketches and off-hand comments from George Lucas, but much of it was just invented on the spot more or less for game purposes) for the original Star Wars RPG. They pretty much had to do this or the game would have been really bare bones. RPG publishers of course have a vested interest in making up more lore, and creating campaigns based on lore created by others, in order to keep selling books (using your imagination, you don't need these new supplements and campaigns, do you? You're just paying somebody else to do the prep work for you). To make the game work they filled in a lot of gaps that existed from the time when it was basically a novel and a few comics (and a few kid's toys), other than the three films.
Then later Expanded Universe writers cribbed the RPGs for details to flesh out the background, creatures, tech, and terminology for their novels and comics (and video games). One thing built on another. But over time, those games had a universe that became smaller and smaller as more details were "known" and "filled in." Imagine trying to play that RPG a decade later, with people at your table who had poured over dozens of novels, comics, games, and "official statements" from Lucasfilm's continuity guru, about what "really happened." Would they balk at something you made up in your campaign as the GM, that contradicted (or just never appeared) in one of those later sources? Would they get upset that their favorite thing from some later source wasn't covered in the game setting? And as time goes on it gets even worse. George Lucas didn't feel constrained by the "universe" that had grown up around his films, that he himself approved (and sometimes even guided, as in the case of Shadows of the Empire and Dark Empire), and contradicted them with new movies. The games raced to keep up and fill in the gaps once again. Eventually huge parts of the canon were basically "reset" or reinterpreted in light of the movies (new movies and changes to old ones). Finally when the franchise was sold to Disney, they once again "reset" the continuity, and started making movies again, but borrowed from huge chunks of the supposedly now "non-canon" ("legends") lore (which they still sold... bringing books, comics, toys and games back into print that had been OOP for decades by this time, just to say they weren't canon on the label). Imagine being a fan in the 80's vs. a fan now... what a mess! And having been a fan for a long time myself, I know the obsession many fans had with keeping it all "straight." Some of us don't have time to read hundreds of novels and comics, and play dozens of games to get all this, and the attempted harmonization explanations from "official persons" posted on the Star Wars website or forums often are less than satisfying. So hopefully that long-winded comparison shows what can happen when a successful franchise gets too bloated, or becomes a victim of its own tendency to make more money by "answering questions" and "filling in gaps." Perhaps its better if fans just put a hard stop on it, when they're playing in their own sandboxes. I imagine the arguments nowadays...
"What do you mean I can't use light-speed skipping or the Holdo manuver to defeat the Imperial armada surrounding my ship! I demand you accept that my character is wearing Beskar steel plating, and so is immune to blasters and lightsaber hits! Why can't I use the force to teleport a bunch of weapons into my hands from the armory my friend has on another planet?" It would get crazy. "Listen guys, we are not accepting any new sources released after this game, sorry. If you want to run the campaign next week with your current year rulebook, we can do that and I promise not to whine, but for now... there's [the star wars equivalent of] Ogres, okay?"
So there's something to be said about imagination. If it requires a research degree in "lore" in order to run a game, rather than just sticking with what's in the box (plus imagination when needed for game purposes), that limits the fun, and fun is what the game is all about. If you're the sort of person who can't enjoy himself, unless he's sticking to the "latest canon" and your game players can't accept it if you agree with them on it, then I guess it's your only choice.
I love Pac-Man, but when I play it, I don't get angry and throw it down because there are no Super pellets like Super Pac-Man, or that I can't leave the maze like some of Pac-man "sequels" released decades after the arcades. With RPGs and board games of this complexity, there is a certain freedom, a certain looseness, a certain "I'll allow it" on the part of the GM. But there can still be limits, otherwise every player becomes his own GM, and you can't really have a game.
Sprinkling in a little bit of flavor from other sources is cool, and some players may appreciate if you made an effort to scrape those flavor chips off from some official, semi-official or quasi-related "source." But especially if you're drawing from another living franchise, there can be pitfalls to this approach, if the non-GM players feel free to repeatedly contest stuff because of their different level of fandom or research nitpickery. We all know of arguments between fans of lore. They interpret things differently, they like different things, so they'll all want their interpretation of the official canon to be the one that everybody recognizes, but when they're not the GM, it's not their place to start that argument once the game begins.
So I'd say whatever your view, it doesn't have to be a choice between accepting all of the Warhammer lore, OR just using your imagination. There can be a near infinite number of gradations in between. It's your game, you do it the way you see fit! The older and more popular a franchise, the harder it is going to be to please everybody, so you make a decision.
I say if you're going to go there, set boundaries up front, otherwise it's going to quickly turn into a "Rules Lawyer's Court" episode, where everybody is doing everything but playing the dang game.

When you're the GM, it's not their world... it's not even Hasbro's world, it's yours. And those who disagree can do it their way when they are Zargon/Morcar/Demon King.
