you're very right on that they often if not always loosing the thread as the expansion is told. And Dragonflight is quite telling of this.They can tell a good story they just can't nail an ending which is another thing extremely hard to do in long running fantasy. People get headaches over the Legion presence in WoD but before they got involved early on in the expansions life the story was hardcore as hell and fun. Pandaria is very similar lots of strong stories and unique ideas or reinvented ideas. Things like the Shado-Pan and the Iron Horde are really strong. The concept of Bastion in SL is really strong, same as Oribos. BFA presented the culture of Zandalar and Kul'tiras really well but could not tell a worthy Zandalari story to save their lives (I thought they nailed Kul'tiras Campaign though). The Dwarves in Modern WoW are also very interesting the War of Three Hammers was a great concept but in Cataclysm the idea that they merged into a council and were properly communicating again is very traditional but unique to WoW. Ironically the concepts they keep revisiting (Death, Elves, Dreadlords) are what seem to be driving the most aggravation in the community.
Edit: I figured i'd point out what I mean by the endings. Burning Crusade had a great ending (Despite my opinion on the entire expansion), Wrath had a great ending in hindsight...as some may recall it was not loved at the time. Cataclysm had an ending so bad Dragonflight's entire main plot focused on fixing it. Pandaria got some closure in a book but continued into WoD. WoD is the same but continued into Legion. Legion had a phenomenal ending that they ruined with a cliffhanger. BFA had several strong conclusions to factions and characters and then horrendously butchered most of the rest. Shadowlands really didn't have an ending. It never really had a strong story either, very unique concept, but a really flimsy narrative. Dragonflight SO FAR has had no ending but has so far managed to stay very clear of flimsy writing and cliffhanger endings...I guess we will find out at Blizzcon if Iridikron is going to continue his antics or not.
Edit Edit: I have alot of talking I want to do today apparently... I have always been a proponent of leaving expansions in expansions, storywise so we don't get Cataclysm yet throughout the games life cycle outside of a select few stories (Exiles Reach, Forbidden Reach) the stories continue to rely on other narratives to stand up. Shit Dragonflight is basically a direct sequel to Cataclysm.