Well firstly, you would be ignoring the 60+ years of Marvel continuity which has included and involved hundreds if not thousands of deities within its stories; not least the Mighty Thor himself and if we use that character as a parallel to D&D, where he is seen as an Intermediate Deity we can gauge the power of many of the gods and higher powers within Marvel.
I only know the movies, so for me it's just 15+ years.
I'll admit, though, I did forget about Captain Marvel. Her powers are getting more toward the deity level.
Secondly, as I originally noted, interaction is more fun and exciting; especially when its hand on. Avengers Endgame (and other stores) are proof of that.
When a deity is on a "whole different level that cannot be challenged" the story just ends right there and then.
Not at all. The story simply changes to something other than challenging deities directly.
And sure, Avengers Endgame had everything nicely balanced to make for a good fight in the moment. However, fight opponents is not the role I see deities filling. Minions, maybe, but even they are immortal.
Also, the way I see deities, their plots and plans usually span many millenia where played campaigns maybe span a few years. Hence, the deities mostly leave the day-to-day stuff to mortals to deal with, and that's where the PCs might come in handy.
But when divine power transcends but is not wholly divorced from what precedes it, then it becomes a more visceral component of the story/adventure/game.
Only if you see the deities as potential direct opponents in battle.
Me, I want there to always be a (much) bigger fish than the PCs or any other mortals can ever become within a typical campaign. That's the deities' role.