Reminder that a cosmic realm ain't just 1 region. You could easily make it to where a cosmic realm can be full of varied things. I can think of a ton of cool things you could provide the Order Realm, the Light Realm, etc.
Also, Blizzard intended on making players return to Azeroth for a while now. It wasn't JUST because of bad reception.
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I think them being their own settings is fine, so long as the story connects itself with Azeroth in the end. Heck, even as it's own thing, SL involved Azeroth a ton.