So, here's the thing. The large bombastic nature of the world (the cosmic pantheons, the different planes of existence, ect.) is actually pretty in line with a lot of modern day fantasy story telling. Not that I'm an expert in all of the the other universes but they seem to have a similar setup. D&D, ESO, and so on.
My biggest frustrations are are a few specific points. One, our characters suffer from "chosen one" syndrome. I don't care if it's the Dragonborn from Skyrim, the Inquisitor from DA, or Azeroth's "champion" opening ancient relics because it's reacting to me for no reason. These kind of stories are self limiting because then your power must only grow and there can never be a real cap on it and they scream of special snowflake. Head canon, my main has never been in the raids to take down any of the big bads. Only ever following around the Alliance and Horde (or Order Halls) and helping with far less severe tasks. This needs to stop, have a fall from grace story, have us lose all of this extra power, and let us go back to being just some average joe. I'm totally fine with the "main" cast of WoW (Anduin, Jaina, Thrall, ect.) propelling the story forward, that's totally fine. I don't want anything to do with it.
Another pain point for me is how this larger plot is eclipsing everything. I get that we're in the afterlives but this is the perfect time to be focusing on the smaller stories. The farmer dad that died in Redridge is a perfect example. Legit one of the best done stories in the game bar none. Drinking the lemonade your daughter made for you to try to stay alive while you fight back the undead and then dying anyways? What a remarkable story arc and all it took was a few quests. We need more of this and less Wild Gods going to Ardenweald to be reincarnated but there is an anima drought but we're going to save our bestie Ysera who's the creation of the Winter Queen's sister in the other plane of existence. Don't get me wrong, that's interesting but it's all tied back into the greater plot.
Our personal characters mean nothing. They are no different then any of the NPCs in the story. Any semblance of player agency is just missing outside of transmog which itself is heavily restricted. There's no backstory for your character unless you write it up completely independently of the game, there's nothing in the way of character choices, and you can't even choose how to play your class. The entire RP aspect in RPG is completely missing. The MMO aspect is there and alive for sure but immersion? Nah, better go elsewhere. I'm totally aware its an MMO and there's only so much they can do but there is a difference between an attempt at player agency and what they're doing now.
The other problem is that, like OP said, the races, the classes, the different factions in the world, their lore is largely just ignored. I mean you have the class order halls who are seemingly still in operation but are doing exactly nothing apparently, what's going on with the Scarlet Crusade? Did the Knight of the Ebon Blade just sit around with a thumb up their ass until Sylvanas came along? What about the Shaman and their connections to the spirit realm during the time of the Shadowlands? What is going on with the Forsaken and their struggles now that their leader of so long has disregarded them? How is the Horde counsel working out? What about the Alliance with Turalyon at the helm? How have the Tauren been faring with the Grimtotem being brought into the fold? What are the Demon Hunters up to with the Legion largely defeated? What is life like for the Draenei with Argus being completely lost but the Legion put down? How are the Gnomes and the Mechagnomes getting along? Just some of the loose story plots in the game that would be far more impactful than "hey, the void attacked the Shadowlands once back in the day."