I can imagine 2, actually, at the very least.
1) So there's this prince of a kingdom wherein horrible, unexplained shit is happening. He goes out, assembles a team, and thinks he's doing good things but is actually being manipulated and corrupted along the way, which culminates in him razing a city, traveling to unknown corners of the world, stealing a pretty sword, leaving the brother of an ally's royal family to die, assassinating his father, and leaving nothing alive as he marched on an allied capital just to resurrect a new companion. After causing all this ruckus, he goes to a ski resort where he puts a magical bucket on his head.
The previous owner of the bucket didn't like this very much though, so he bribes a broke, salty elf that was kicked out of druid college to kill the new wearer of his bucket. What the previous owner didn't seem to realize before making this offer is that salty elf has a history of running away from his problems, trying to take the easy way out whenever possible, and
doing the right thing (whenever that aligns with his own goals, at least).
And this story spans 2 base games and 3 expansions in total; or 3 base games and 8 expansions, if we want to look at it from 30,000'
2) We met our snotty, depressed little sort of a hero where he spent most of his days laying in the bright green pastures. The son of a mighty warrior whom he did not know, he was doomed to follow in like footsteps. He was told of his lineage, warned of his potential, but upon learning this he only wanted more. He wanted to lead his people to victory -- to domination -- but with every conflict he only grew more brazen and gluttonous. He went to the same ski resort as our last hero, emerged victorious, and still he was not satisfied. He came home and redecorated a city --
changed architecture for a generation -- and still he was not satisfied. He almost became a(n old) god, and traveled through time and space (and probably more) and forever altered the future for at least two entire civilizations. Yet still... satisfied, he was not.
He was not satisfied until he laid lifeless on the field of battle; defeated by his closest friend, ally, and mentor....
And
that one spans
5 expansions
The quality of their stories and writers is questionable/debatable of course, but in hindsight, and with a little perspective, they did on multiple occasions exactly what you're claiming they never do