*Points and laughs*
Just focus on one of them and only bring in the others as needed for the story.
I had a whole bit where the Necromancer was going to go to the dragon graveyard and raise an undead dragon, but it just never materialized because it just didn't fit it with the flow of the story.
You still have the notes of what you've written, just keep them for another story if necessary.
If there's one way for certain that you can keep characters from becoming a safari van through the setting, it's making that person part of the setting itself. Get a sort of "Establishing protagonist" who's involved in things before the story even begins. They have a job that directly effects the world around them, and a cast around them that actively live in that world. Authority figures are easy go-tos for that, which is why you have so many nobles in Game of Thrones in comparison to all the "Adventurer" types you see in other fantasy books.
And make sure there's a few different viewpoints and knowledge of the world from all over the place (Either in the form of recurring characters who talk to the MC often, or in the form of multiple protagonists, even though that may be much more difficult) that can be brought to the character in order to entice the reader with bits and bobs of an interesting world. Just do everything you can to focus on a few things and try to build up before you built out, because if the character has to travel all over to learn the things you want to write about, it's going to feel like a guided tour, which ain't no good.
Focus on one society, aspect, quest, etc. and add in bits from other places here and there to convey the bigness and interacting locations of your world. This is how series are made and many, many points are fished.
I mean, technically, there are ways to work in all the fascinating tidbits outside of short stories. Short stories may be an especially good way to go about it, since that is how the fiction market seems to be going these days (Quite a few "Books" on Amazon that sell pretty well are around 20-30 pages in MS Word, and that one millionaire-ass author who wrote the detective books that Morgan Freeman did the movies for is moving into flash fiction.) This will allow people who've read a lot of your stuff to have an in-depth knowledge of what's going on, and any bits and pieces you add, if blatant enough, will maybe get readers interested in reading the stories you've written about those other places.
But, as someone who's tried for years to try and describe penguin-people in-story (And giant talking baboon fairies, just recently) in a way that people care about without making the protagonist a penguin-person all the time, I've found a good excuse to make it part of the story is to make it part of someone's character development. Explain why they're familiar with new, otherearthly aspects, or why something's strange, weird, or offensive. Provide exposition, but give the character's thoughts, opinons, and reactions so the plot sort of moves, and no one can seriously accuse you of doing a C.S. Lewis dump.
Non-linear narratives also open up the option for a sort of "Multi-questline", where multiple short story plots of info and character development can be covered on the way to the ending. However, this can end up being a massive, unending timesink if you don't keep your structure together.
Or someone who has a job that requires traveling, like the courier in New Vegas. There you have someone familiar with the world, who has to move about and introduce the viewer/reader to it.
There was a very unique solution to the problem of how do you make the player and the player character feel aware of their surroundings in the unlikeliest place: Hatoful Boyfriend - an alleged Japanese Bird Dating simulator. (mild spoilers) You play as a human female in a post-bird-apocalyptic elite school Academy in post-bird-apocalyptic-Japan (where you're the only human in the school, as a pilot project). The main story has a number of romanceable paths (including one where your head is cut off and kept in a jar - understandably you die in that one. Also, not romancing anyone is also an option). The paths themselves are fairly mundane and slightly above average in writing and world-building. However, once you finish them, you unlock a new route, where everything you've learnt about everyone's personalities enriches the experience significantly (and provides relevant plot points). (/mild spoilers) The game is a great (though fairly hard to reproduce) design choice for how to build a story where the player isn't fresh to the world, and uses that experience to lead a narratively rewarding story.
E: Come to think of it, this design is actually highly doable in a CYoA. Force a player to play as say all four jobs in your game, and then unlock the 'true' path where you use your inside knowledge from all previous 'lives' to win this one. Huh. May use this in a later project.
You should just stop trying to write stories and instead writhe "Tourist in my fantasy world: The game".
Making a story with several short stories set in the same world might be the easier way to go at this point.
Guess you could say you're really...
Setting the stage.