Aleena died for your sins.
Except it isn't, necessarily. The original source material (Nine Princes etc.) makes frequent reference to, and use of, the concept of planes that are locked out of, inaccessible, or otherwise difficult to get into or out of.However, they do matter if we want to concentrate outside the Prime. Personally, I like a combination where some things are explained by the many universes of the Prime and other things are explained by things outside the Prime.
One issue with stuffing all the settings in the Prime is the part you quoted about the Ethereal plane touch the Prime and inner planes. If all the settings are in the Prime, it should be fairly simple to travel through the Ether to get to any alternate universe (setting) in the Prime. But that is apparantly not the case (MtG, Eberron, & Athas are all difficult to get to).
The DMG makes reference to this as well, stating that the conditions of other planes might be completely foreign, both in terms of scale and time (time can pass more quickly or slowly, scale and size can be completely different) and that the DM can control the methods of ingress and egress to the planes.
So while the ethereal might touch upon Athas, that does not mean that your Athas (and there are infinite Athases) is easily accessible.