I have been wondering about this subject lately. You get some big wargames companies whose entire business is built up around the gaming worlds that they have created. Then there are other companies - generally smaller and / or family run - who sell their ranges of models but let their customers decide upon how they will use them. For many years I have to admit that I went along with the former approach but I have now ditched that and prefer to just buy my Fantasy armies and do my own thing. Maybe it is something that you do more as you get older as a wargamer ?
I used to way back in the very early 80's play in the worlds created. But then I got tired of things changing half the army didn't exist anymore our you couldn't get what you needed anymore. I now prefer to do my own thing so I can build games around Books, Historical Battles,TV our film influence's