For example, my personal cosmology I use the all settings approach. It is not really the great wheel, but similar enough. The various settings (including MTG) are generally separate from each other, but they do existing in same "multiverse." So while it is theoretically possible to go from Theros to Athas, is practically impossible (even for gods). Similar situation with Eberron. So I could make / allow such travel to happen as the DM happen if I want, that is not something the PCs can even contemplate. They don't know anything about worlds they can reach, let alone ones that they can't! I just don't see what this removes from world building.