That was one of the big points of Spelljammer, Planescape, and Ravenloft in 2nd Edition - to connect the various D&D worlds.
I've played under that model, as well as the idea that each setting has its own cosmology. In the end, the conclusion I have come to is to decide on a game-by-game basis what cosmology you want to use. If I'm playing Dragonlance, then no, it's not tied to other worlds. If I'm playing Spelljammer, then Krynnspace is a part of that.
Ah, yes, much like when I run a Planescape campaign, Dark Sun/Athas exists (in a closed Crystal Sphere), you could have a Mul in the party, but generally, when playing a Dark Sun campaign, Planescape will never enter into things.