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.
