Imagine if this wasn't the case with any of the D&D settings. A Dwarf from Greyhawk would have lore and species features that would set them apart from a Dwarf in the Forgotten Realms. The elves wouldn't be identical because like the Dwarves, their lore and species features would be different. There would be numerous Dwarf and Elf pantheons on every world. And so forth.
This would be a lot of work for the designers in both TSR and WoTC.

So, you could say that they took the easy way out by making them all the same for every world in terms of species features and different when it came to their lore.