Zardnaar
Legend
Nonsense. The mists grab anyone; it's up to them to determine if they can hide well enough to survive.
And it depends on the domain as well; being an elf on Barovia gets you a funny look; in Darkon it doesn't raise an eyebrow, and in Tempest it gets you lynched. Yet in no version of RL (black box, red box, DoD, 3e Arthaus, or CoS) has any race been outright banned. Nor any class, even if paladin is tantamount to having a bullseye on you forehead...
Ravenloft is an exception though and once again its designed that way. The mists can get anyone (even Athas apparently). The mists are a major part of Ravenloft IMHO, the Darksun races, classes and world are a major part of of that setting.
TSR sort of had this shared multiverse which kind of did not work that well and they had several setting built to share it (Spelljammer, Ravenloft, Planescape) and it mostly matches the evolution of the TSR worlds. For example Spelljammer out of the box only had 3 of the TSR settings (FR, Greyhawk, Krynn). TSR also blew up their own worlds with metaplot and went bankrupt over it.
Eberron originally had its own planar structure and was its own thing. FR had rules that contradicts other settings so while in FR for example you follow those rules, if your FR character starts Spelljamming, gets sucked into Ravenloft or travels the plains then you follow those rules.
Athas was cut off with very few exceptions such as Dregoths planar gate, the Ravenloft mists (which were multidimensional). Not all of the TSR/WotC worlds used the great wheel and neither did the 4E setting. Its not required IMHO.