I like the concept. With a world like this, much of what gets relegated to the planes in the standard setting can just be different parts of the world. Plus as a setting it seems you could have the inhabitable part be the "twilight" ring (which has a cool aesthetic itself) and it isn't far from that ring to hit deep cold/dark or scorching hot.
Depending on how hot and cold you want to make the various sides, you can make the players use more of the endurance skills/ endure spells than is typical for a game.
Here's somethings to consider (depends how extreme you make the sides but I think you could make them VERY extreme plausibly):
- Glaciers from the cold side might intrude into the twilight zone
- Molten rock might intrude from the hot to the cold (I think the glaciers are more plausible but you could make the molten rock work; maybe it's tied into fire elementals somehow).
- There might be long standing tensions leading to repeated invasions between the various zones. Maybe the temperate zone is something of a wasteland or battle zone where hot and cold forces meet.
- If you like planar creatures, look for ways to map them to places in the world.
- If you want to make use of lots of different places in the world (it's a setting begging to be traveled and have its corners visited
), think about creating methods to travel around: portals, flying fortresses/cities, whatever. Some way to move thousands of miles so the players can see all the cool stuff you make up.
- You no doubt already thought of this but the twilight ring should be the same all around the ring. That is, unlike earth where the equator is hotter than the poles, every place on a ring will get the same sunlight.
- The sun will be very low on the horizon in the twilight or near zone. You could put your people farther into the sunlit region but you could also have the plants face their leaves to the sun. The solar energy hitting the ground in the twilight zone is low due to the very low angle of incidence but if something is facing the sun like a wall or a broad leaf, it is getting a lot of light, attenuated by the atmosphere but you can adjust or ignore that.
- The twilight zone for an earth like atmosphere will have very reddish light but for things that evolved in such a zone, they would most likely have adjusted their perceived sprectruum and would likely perceive things much as we do. That is, if you don't like the aesthetic of everything looking reddish here, don't make it reddish and wave your hands at "perceived spectrum"

- Sunward ("north") might be toward the sun and south away, or vice versa if you want northern hemisphere bias.
Anyway, just some thoughts. I've toyed with doing a world like this myself and may yet do one. It's fun.
My current world is a disc world with the sun orbiting just outside the disc. It turns out that that arrangement also results in regions of the world that are always very hot, somtimes very hot, usually very cold, temperate, and so on. I don't have the full range of planar-type creatures and my setting is somewhat Norse-influenced so for me you can find giants, cold and hot elementals in the more extreme regions.
I like a setting where the creatures feel right for each area rather than a setting like the D&D standard one where each creature type gets its own "room". Shadow creatures are in the shadow room, fire creatures on the fire room, err, plane, etc.