See this all makes utter and complete sense to me.

I would add as a reason that it let's me screw around with genre barriers. As an example, I have what I'm planning to do for the impending #SwordsofSaintValentine, which is somewhat fantasy, somewhat sci-fi, and somewhat "weird". That will probably expand into a series of short stories in a similar framework. However, there's also more high fantasy in one place, straight-ish sci-fi in another, and something I'm calling "techno-noire" in a third. These are just examples. And while I do plan to join them all in a grand arc at some point (my world building has always taken a very eschstological bent) they will probably live in that otherwise loose web that you describe.

Really I should read more Pratchett.