But they've kind of been doing that for years. I can't tell you how many times I've read a gaming book and seen a reference to "some adventurers" having done something, when that something had been the focus of a previously-published adventure.
Sure, but it generally doesn't meaningfully matter to the adventure being played. It can't, because if it did then it would be part of a series.
Let's take what is, to my knowledge, the most connected two adventures currently in 5e. Rise of Tiamat and Storm King's Thunder. Storm King's Thunder has the Ordning broken because the giant's didn't act to stop Tiamat's rise. But, the adventure is fairly clear that the Small Folk don't really know this, and frankly the entire adventure can work without this being true. You don't need Rise of Tiamat to have happened, or the people and towns attacked and destroyed to have been destroyed to play Storm King's Thunder.
And this is my point. By the time you are playing Wild Beyond the Witchlight is the Mad Mage Halaster dead? He is fought and killed in Dungeon of the Mad Mage, correct? That came out before Witchlight so he is clearly dead... except, what if your table has never played Mad Mage? Is he still dead? If I want to play Mad Mage after Wild Beyond the Witchlight, do I have to explain that Halaster was killed, but has been revived?
No. I don't. Because in the reality I'm playing in, those events didn't happen in that order. Enforcing that via a "shared universe" is impractical at best.
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Exactly. The only time I read one of those where the party lost was the explanation for House of Strahd (2e's version of the original Ravenloft adventure) in Domains of Dread, "Powerful heroes assault Castle Ravenloft and perish".
Every DM's campaign is it's own shared universe, but beyond PC actions, it's one universe. There's only one Forgotten Realms, and that's the one from the books modified by the DM and the PCs.
But if you are playing in the Forgotten Realms and I'm playing in the Forgotten Realms... aren't there two Forgotten Realms?
This is why I proposed the model I did. Because every table makes its own reality, its own mirror. We all do this, constantly. In my version of setting X this isn't true and instead it is this, and that is just as "real" and "true" as your version of setting X where it is true.
And this has been the model WoTC has been working under for decades, but people keep trying to claim some sort of far more bespoke version of realities where there is only one Forgotten Realms and only one Dark Sun, despite all the problems that inevitably causes.
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I believe 4E there was at least one reference to the final Paizo era Dungeon Magazine adventure path, Savage Tide, having occurred some time in the last century.
EDIT: Found it in the 4E Demonomicon:
It then goes on to say that Demogorgon eventually was reformed by the Abyss itself, defeated his mortal usurper, and gave that mortal to his ally Dagon. So if anybody played through the end of that adventure path and had their character take the title Prince of Demons upon Demogorgon's death, apparently Dagon has your character now.
For another instance of this, at the end of
For Duty & Deity (affiliate link) it says, "The official FORGOTTEN REALMS campaign assumes that Waukeen is freed from her imprisonment and that she regains her rightful place in the Faerûnian pantheon. If the PCs failed in their attempt to rescue her (see below), another group of heroes assembled by the Holycoin successfully frees Waukeen from captivity."
Both of these kind of prove my larger point though.
Who was the Mortal who slew Demogorgon and took the title Prince of Demons? None of us can say. Any answer we give is equally true, but wouldn't that person and his companions be the biggest deal, people as famous as Driz'zt or Elminster or Silverhand? Wouldn't the mortal heroes who rescued a Goddess be saints revered by the church of Waukeen for rescuing the Goddess? Yet... they don't exist. Look at any sourcebook talking about Waukeen since that adventure, and none of them name these heroes, if they even mention them at all. 5e Forgotten Realms was Canonically following the 4e Realms and Savage Tide... yet 5e never mentions Demogorgon being killed and a mere mortal taking his title. None of those archfey who helped fight are listed has having "once fought Demogorgon and helped slay him"
So, yes, they reference, they hint, they give easter eggs sometimes... but it never actually matters. The Ten Towns are in the same state right now that they were in before Rime of the Frostmaiden. If they do more than mention "a few years ago the Goddess Auril threatened the region" in any future adventure that isn't a direct sequel to RoF then I'd be stunned. Because to do more than that, means they have to declare canonical endings. And there is no value in that.