The inclusion of Cthulhu turned out problematic for TSR, for while it was a natural inclusion for D&D, apparently it had already been licensed out. Kind of a shame, because I think it would have made for a better horror themed setting than Ravenloft did. I wish that Lankmar would have continued, and never really found out why that setting died off.
Oh, and as much as I love Rokugan, technically it was WotC IP when it was the OA in 3E. This was during the timeframe that WotC bought it from AEG, before they sold it back to them years later (I think AEG went through a bankruptcy or something to restructure). This was a good thing IMO, because the 3E system doesn't provide the nuance necessary to run such a setting properly, where social interaction is more important than combat. I think that 5E could do it better (mostly due to bounded accuracy), but it would still have difficulty in conversion (shugenja for example, would probably have to be its own class as none of the spellcasting classes really work).