Really, cause Deathwatch is probably the one that needed a cohesive setting the most. Otherwise it just so easy for it to degenerate in to a bunch of marines running around doing random missions against whatever foe the GM feels like throwing at you.
As for keeping Jericho next to the Calixis Sector and Koronus Expanse, why I would have thought the answer was blindingly, retardedly easy to notice, obvious. So people playing X can jump the setting over to Y whenever they feel like (DH to DW, DW to RT, DW to BC, etc.) and back again, as the needs of the story allow and mad plans of the players require. Hell running to Koronus or Jericho is one of the options I plan to present to my players late in their DH campaign. That's plenty of gain. Not to mention tieing the settings altogether allow you to not only shuffle players from one area to another, but also tie together things. The Calixian Inquisition, while hardly powerful out in the wilderness space of the Reach, is certainly going to have interests and concerns for what's going on there. Perhaps that's where your players trace the source of a gang of cold trade smugglers back to? Maybe you're investigating rising heresy amongst veteran imperial guard units, and discover that all of them have come back from the 'Margin' (Achillus) Crusade. What if your Deathwatch team learns that a fleet of Orks discovered the warp gate, on their way to attack the Calixis sector, and travelled through it to instead wreak havok behind Impeerial Lines? There is plenty to be gained from tieing Jericho to the others.
Having them just wander the galaxy is the idea that's unfeasible. It's too large for a lot of long distance travel to be feasible (just look at the travel times in Rogue Trader), not to mention the game would effectively become RT with Space Marines. Setting info would have to emerge somewhere too, as you can't expect a GM to make up every single **** planet that they'd have to stop on for a mission, which works better when those planets are part of a cohesive setting rather than floating out on their own in the void (pun intended) just because you had to make the game take place in the whole galaxy instead of having some focus. And as for the war, well you're wrong on a few counts, the first being that it's one of the greatest parts of the setting because war is what Space Marines do, even the ones seconded to the Deathwatch. It's their entire reason for existing. And it doesn't overshadow the Omega Vault, because that already is the main focus of the game and setting. The Crusade is just a thing that's happening, it's in the way, and it can be up to you and your fellow Space Marines, the Kill-Team, the players! Whether it falls or succeeds. Because even though it's a massive military undertaking that involves billions of soldiers and more resources than can possibly be imagined, it's still not as important as the Omega Vault and the mission that the Deathwatch have been tasked with. People sometimes forget this because the vault has been left so mysterious on purpose, so that players and GM's can plug in whatever theories they want for the horrible menace to be.