The most difficult thing about writing fiction is continuity. An otherwise good scene can be bad if it contradicts what came before or comes after it. The imaginary reality becomes uncertain if inconsistent. The writer must remember what he wrote to get things right.
I write stories. I write their sequels and prequels. I write stories set in the same universe that are otherwise unrelated.
The advantage of writing a story from scratch is that continuity is established along the way. A universe is not as deep if it begins and ends with one story, however.
The advantage of linking stories to a common universe is greater context. Every tale is part of something greater than itself. The universe itself is expanded from a mere setting to lore.
I write fiction. Continuity is easier when the stories are fantastic. It is harder when they are realistic. My Weird World and White Empires universes for example: Weird World is dreamlike so inconsistencies can be plot elements rather than errors. White Empires is strange but grounded. Inconsistencies must be corrected, whether by explanation or rewrite.
Continuity is important. Fiction is already make-believe, but if inconsistent, it is sheer nonsense.
A good story is immersive. It can be weird or realistic. So long as its rules of cause and effect are clearly understood, the reader can accept them… so long as they are never actually contradicted. A sequence of events is likewise in this regard. The personalities of the characters are likewise in this regard.
Continuity matters. There is no actual story without it.