It depends on the DM. The Universe DMs most of our games. His first big campaign and second big campaign took place in the same setting, but nearly 800 years apart. As such, the main characters from the first game had become saints and legends - you could really see and feel their impact on the world and it was awesome.
We'll be starting a new game at the end of this month and he gave the players a choice. We could play a game in the same setting or he could create a new one. The players chose a new setting and so we're now world building... which is my favorite part of gaming.
That said - my quasi-game is set in 1922. Someday, if I ever finish it and run another quasi-game, it will not be in the same universe because, well, I just don't see that happening. It seems less exciting or necessary to have a sequel to an alternate history/modern game because, in many cases, the adventurers aren't public heroes in the same way fantasy (or even space/sci fi) adventurers are. Instead, in many cases, they are fighting to keep whatever dark forces are trying to destroy the "normal" world out of the public eye.
However, there's something about a fantasy setting that, in my opinion/experience, begs for a sequel. Something about magical adventurers and the like that makes me want to keep the imaginary world turning... but maybe it's just me.