I like running games in pre-existing settings. Players have an idea of theme and tone before they sit down at the table.
Take Star Wars. West End Games famously helped to establish whole chunks of canon by building off the movies. Then EU authors built on the movies and West End Games. Then other EU authors built on the movies, and West End Games, and previous EU authors.
You can see why this is a problem. There are too many layers of stories, too many conflicting themes and counterthemes, too many skill levels, and too many contradictions. If you take the entire body of canon for a setting as equally useful and valid, you're going to go mad.
If you're going to tell a story in a setting, you want a stable foundation that's relatively light on other stories, but relatively heavy on the hints that could start those stories.
Continuing with Star Wars, the cantina scene in A New Hope is a perfect example. Every single character acquired a backstory. The scene is incredibly rich in the motivation to tell stories... but they've all been told by the time you and your gaming group turn up. There are other issues as well. Authors get fixated on making their mark on a setting and forget how to tell stories in general. You end up repeats, or ludicrous ultra-canon like all Bothans being sneaky, all Hutts being crime lords, and the epic backstory of Han Solo's pants.
I want to use all of the evocative powers of a setting, but few of the restrictions that "canon" imposes. If I post about a setting, I may contradict someone else's ideas.
Use what you want to. Ignore or adapt the rest.