For me personally, the variety of genres and subgenres that I enjoy both reading and writing in are varied enough that I think it would be difficult to contain them in a single world.

I don't think my furry sci-fi horror story, for instance, could take place in the same universe in my superhero fantasy or my meditation on La Santa Muerte. Maybe I could retcon them to in fact exist in the same universe (a la Asimov), but I don't think that would be true to the stories.

I don't have any problem with authors who think otherwise. In addition to those you mention, let me add a personal favorite: Cordwainer Smith. His stories can be seen to create a coherent universe spanning millennia, often with allusions carrying from one story to another.

I just feel that to me, it would be too limiting to stick to one universe...