I believe that a big cosmic threat can only be interesting when there are times where we, the players, feel like we are in immediate danger. With the Jailer, I can’t really say I’ve felt like that. He seems kind of daft, and whatever his plan is it doesn’t sound all that scary, just a vague “unmake the power of the cosmos” or something along those lines.
What does that mean for us players, anyway? What is the “cosmos”, at all? We now know that whoever gets killed in the Warcraft multiverse goes to the Shadowlands. I reckon that by the time the expansion is over, we’ll have fixed all the issues there. And by doing that, we make any ominous fate towards the people of Azeroth feel a bit more insignificant, knowing that they will move on to the fields of Elysium. Any subsequent threats, deadly or otherwise, will most probably not feel as heavy from this point on.
Besides, our immense intergalactic power as these all-consuming, all-defeating, all-looting superhero characters has rendered every enemy useless from about 2010 and after. Our enemy will have to be truly worthy! Unlike, the Jailer. There has to be an expansion where we are too late or something and we fail. An expansion where we are forced to look the consequences of our mistakes in the eye and truly realize the magnitude of our mess-up. That will strengthen the plot by a lot.
One of the reasons why the Thanos arc worked so well in the Marvel movies was that, besides Thanos being well-written to the point of being almost human, the heroes lost in the first chapter of the battle. That had serious repercussions on both them and the world, and it helped establish Thanos as a serious intergalactic threat. If they managed to stop him in Infinity War, it would not mean anything. Thanos would be considered to be a complete joke. The WoW villains however, are introduced in the beginning of the expansion, proceed to slid into the background for the most part of the story, reappear towards the end, and are killed off. Sort of like the early MCU villains. Some of them have DECADES of old lore material behind them to set up their arcs, but once introduced, they just get whacked.
And I believe that this is PRECISELY why the cosmic threats in WoW don’t make us feel like we’re in immediate danger, and as such, do not serve their purpose as they could and should.