I can't help but agree, not least because so much F&SF doesn't adhere to that idea. You literally can't have Lovecraftian horror if you say things have to "make sense"; it's antithetical to the genre.

Mad Max: Fury Road has heaps in it that doesn't make sense, but also doesn't tie with the other films (which don't necessarily tie together as a whole, either). Why break any of those movies to try to come together as an internally consistent world?