They've done a fairly good job integrating the lore. Even the Draenei backstory had to do with the Burning Legion and Orcs well before they were introduced as a playable race. They weren't just a side-note either. They played a huge part in the fall of the orcs toward demon worship. The Pandaren similarly have lore far preceding the point where they were introduced as a playable race in WoW. The lore in Cataclysm has a huge number of ties going back to Classic.
The Warcraft universe is pretty open really. Things can be pretty silly before they get to a point where I'm like "this really doesn't feel like it belongs". It's definitely not the type of fantasy where you can't get away with some "a wizard did it" moments. Basically, everything that's in WoW belongs there, and they've done a good job of things that are introduced being integrated to the point where it feels like they always technically belonged there.