Going with the boomer answer and say it went wrong somewhere in WotLK
That is not to say the lore was great or always respected previously, but it had plenty of ambiguous plots setting up a future worth exploring.
Wasting Characters
Thrall going on a quest to outland and reconnect with his people and meeting Groms kid, to said kid getting lectures and learning what it means to be a honorable and intelligent warrior by Saurfang and Thrall in Wotlk. For all of that to manifest at the end of a single questline, which sticks out as an oddity in the plot because Garrosh otherwise went off the deep end.
Not to mention how we celebrate the butchered potential of Garrosh in shadowlands, because if nothing else he was the same war-crazed racial purist dictator, we had to beat back in mist of Pandaria.
Garrosh is just one victim, we have a whole towns worth of forgotten characters, who are doomed to obscurity besides maybe a few cameos or nostalgia bait quests.
The few among them who gets to hang out in the relevancy club more often than not feel forced or out of place.
The Warchiefs Curse.
Besides thrall, no Warchief lasted beyond 2 expansions on the throne.
Vol’jin didn’t even get a chance to BE warchief besides showing up in a single patch and dying in the next expansion.
Garrosh was put on the throne early and we knew he was volatile, but rather than continue to nudge him towards a horde counterpart to the aggressive Varian, he instead became a warmongering, racial purist dictator.
And Sylvanas only repeated that mistake, although with a slightly different outcome and with slightly different morals.
Meanwhile the Alliance maintained a steady and solid roaster of leaders, who seem only to suffer from bloat, shelving the lesser leaders to focus only one a couple at a time.
The Rule of Cool and The Lies.
The rule of cool is great, but Blizzard overuse it and the setting suffers because of it.
On top of that they have continually become less and less trustworthy with the player base, from lies about the future, to poor executions of predictable outcomes, they try to convince us our predictions is actually gonna subvert our expectations (“you won’t guess who it was that burned the tree!” , “she’s morally grey”) but they don’t,
The Books
Its a mixed bag, but I will tilt to the side of the fence that believe the books have done more bad than good for the setting. While there are some great books that explore long past conflicts or focus on a single character in the in-between time, we also suffer on the reliance of books to fill up the plot holes or explain character motivations, meanwhile we are left confused in the game because why would they bother explaining it to us again, when there is a half-baked book doing it for them.
The Chronicles
Great they tried to create sort of lore bible, but then abandons it and says it was written by a unreliable titan narrator, which could work if WoW was like that.
Warhammer is build on unreliable narrations, you can have conflicting lore, its expected to be convoluted and sometimes false.
WoW and Warcraft as a whole is not that.
So why would I care about a series of books that boils down to titan propaganda when I really want concrete lore I can trust?
Under Delivering
The army of light is a disappointment, build up to be this army of survivors from different legion torn worlds, only to turn out its 1 ship full of Draenei, partially lead by a human, and he has 1000 years of experience because nether time wobblily wobbliy.
The legion is endless, unstoppable, uncountable and yet their own homeworld is not entirely under their control and was easily assaulted by a single ship and a handful of regular Draenei and horde/alliance champions.
Without its master the scourge will become an even greater threat, not really we managed to stage a counter assault in Icecrown and later when we were in shadowlands it was relevant once and never brought up again, so much for a supposedly world ending threat.
The shadowlands is one big case over selling and under delivering.
Figure Heads
In Mist Varian goes on a quest which lead to some much needed character growth, while he previously had shown a soft side to the horde, Mist solidified this.
His quest for troops to aid in his Pandaria campaign taught him about his allies, and he worked with them to gain their respect. He was rewarded by his allies in the alliance with leadership of the faction, affectively becoming the first alliance warchief counterpart, known as High King.
Anduin seemingly inherited this title instead of earning it because, I dunno.
And now in some twist of irony the horde has done away with their warchief ruler becoming more like the old alliance, while the Alliance maintain their warchief for all we know.
In conclusion, The setting did not maintain its own foundation and we are witness to natural degradation as new talent replaces the old guard. The new talent is left to either piece together crumbling ruins or discard it and start from scratch with what they can salvage. Maybe if the developers had maintained a strict adherence to a lore bible, we wouldn’t be discussing this issue today.