One of the trickier parts of using a preexisting setting is using its established characters. Even ones designed for tabletop games have major figures that drive the story forward. This topic comes up the most when roleplaying in well known properties like Star Wars. But a game master has to be careful how they use such characters. Or decide if you even should use them. Throwing in a setting's major character can disrupt the players' immersion in the story. In a particularly bad scenarios, it can end up completely overshadowing the player characters. A game master should approach these mythic figures with caution, assuming you want to use them at all.
A GM looking to use a preexisting major character should first build a story that can stand on its own. If the story you've written doesn't function without this character's direct presence, then you've deprived the players and possibly even yourself of agency. Going back to Star Wars, in most cases a player knows they won't get a chance to kill the likes of Darth Vader or Obi-Wan Kenobi. Unless it's an alternate reality game, which has its own sets of problems. If you're looking to incorporate a setting's big names, make a story they can logically fit into but don't dominate. Otherwise, you are taking away the group's influence over the story and giving it to another, more "important" character.
Then there's the matter of accurately representing the character. Established settings can potentially be as vast and varied as our own world. A GM can get away with taking creative liberties or ignoring the rules as long as the campaign "feels" like it takes place in the setting and they adhere to its fundamentals. Characters are more rigidly defined however. If you don't present a major character as being consistent with their established personality and traits, the players will likely notice. The more players interact with these characters, the bigger the chance that this will be a problem.
This is an issue even for the more loosely defined characters of settings written around these sorts of games, such as the various White Wolf and Warhammer properties. In those instances, players will still have developed a certain image of what those characters are like and might not be receptive to something that contradicts it.
The appearance of an established character should be brief, memorable, but impactful. The most the players should get is a short exchange or a quick act of heroism. This places the players' adventures in the context of the larger setting without overshadowing them. While minor, these moments should still be meaningful and add to the characters' own journeys, whether they be personal or the more traditional kind. As the old saying goes, less is more, and getting to briefly interact with beloved, recognizable characters in this way will feel more special than having them stay around and risk wearing out their welcome. On the GM end of the spectrum, you can easily side step issues like consistency and accurate representation if the characters have such a restricted role in the story.
But even this method requires some finesse. You'll have to condense this character and what makes them special to fit into a relatively short time frame. Additionally, there's the issue of placement. The major character can't show up too early or too late in the story, as it would be too easy to undermine the players' narrative. Having them show up in the climax has a similar issue. Ideally, you'll fit the major character into the "rising action," the lead up to the resolution of the campaign. This will ideally help get the players excited and create a sense of gravity for the situation. Major characters can be a great way to fully integrate the narrative of your campaign with that of the established setting. The trick is presenting them carefully and thoughtfully.
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