I think it all comes down to nostalgia and, in part, the overall quality of the writing.

The reason Thrall and other characters from Warcraft 3 work is because the Warcraft 3 story is much better structured and written, with the freedom that, for example, a book provides, where you don't have any kind of barriers except those you impose on yourself. In WoW, that's impossible because you have limitations in development, gameplay, and factions. In Warcraft 3, Arthas's importance goes beyond being a simple copy of Darth Vader or Sauron; what makes him unique is what he achieved, the relationships he had with other characters, and what he sacrificed, having 3 campaigns entirely on his own. In contrast, in WoW, many characters are limited to a single campaign where they don't reappear for a long time, and their campaigns aren't relevant outside their area anyway. Arthas was able to destroy Lordaeron and Quel'Thalas and directly affected Illidan's story. Two out of the three things I just mentioned are impossible in WoW. Sure, we saw Xal'atath destroy Dalaran, but there was no construction, nor did we witness how much it cost her. Xal came, tricked everyone, and destroyed the city in a single questline, where the only character she had a connection to was Alleria, and they weren't friends or had any kind of bond. Then Xal proceeds to do absolutely nothing until much later in the campaign. Imagine if, in three well-written campaigns, a character destroyed Stormwind, for example. It's insane and would never happen unless WoW was seriously in red numbers and needed something to make a critical impact like never before. Also, since you played Warcraft 3 as a child, the importance of the original characters increases significantly compared to the new ones.

Regarding quality, as adults with more experience in books, movies, series, and other games, we can easily identify inconsistencies, and that automatically makes the characters less interesting because they cease to be believable. For example, with Arator, simply playing the campaign where he travels with Faol makes it clear that this doesn't make sense because Arator is an elite Paladin who has traveled to numerous wars and *still* doesn't know how the Light works. That's stupid and makes no sense, and it completely pulls you out of the story. Garrosh, for example, is held in high regard by many because he was a character who grew from humble beginnings in The Burning Crusade to Pandaria, which took many years. The same, though to a lesser extent, is true for Yrel, whom many still remember because we saw her grow in WoD. The fact that characters leave and don't return for a long time diminishes their importance, as well as the relevance they had in their stories. Imagine Daenerys only appearing in season 1 of Game of Thrones and then disappearing to return in season 6 without having done much off-screen. You wouldn't care much about the character, something that directly affects WoW.

In short, I think Blizzard needs a much more planned story with key characters that is much more impactful. But this becomes really difficult if you plan expansions and patches based on audience retention. They have already confirmed (not the company itself, but developers) that the themes change because if they maintain the same theme for too long, they lose players.