When I re-read the introductory texts of HeroQuest as an adult, without throwing it all aside and imposing a developed "canon" of Warhammer Fantasy (pick your edition) upon it and trying to rationalize it... seems fairly straightforward. Each of the big kingdoms are sending their best guys (in terms of skill and in terms of their embodiment of the ideals of that society) to form a band to go on these missions like legendary heroes did in the past. You're not front line troops. You're special forces.
So when I'm playing I'm not focusing on how the Barbarian is paying his taxes on the land he's working back home, or what the Dwarf's kids are doing, or what the Wizard's social status is within his wizarding guild when he's not having adventures. I don't worry who is feeding the Elf's dog when he's away or whether his wife is cheating on him with that good-for-nothing neighbor Ned Fillandiel.

Mentor is the boss, he's the one who has called upon the Heroes. Who is Mentor? He's some guy who has been deputized or solicited by the Emperor, for these missions. But Mentor has his own goals and big picture concerns beyond that of the Empire. Someone once pointed out that most of the missions are not the Emperor's demands, though he does reward you for various quests. In that sense you're mercenaries, but the reward that is held out is that you will become Knights. Mentor is there to give you your mission, the narrator who explains what's going on. Zargon/Morcar is the guy who throws stuff on the board and tells you when you're losing.
But more about rewards... they hold out becoming an Imperial Knight. Cool, but what does that mean?
What does becoming a Knight here entail? Does it mean that now you are at the Emperor's personal beck and call? Are you now having to manage lands apart from your original home and your new loyalty is to that authority rather than your kingdoms back home? Or is it just some kind of honorary title, giving us elevated honor and status? Does the player have to worry about giving some of his gold in taxes? Does he have to do a side quest where he's fighting some guys in some land dispute rather than adventuring in the mines of magic like usual? Does he have to go to tournaments to keep up his reputation with the other knights? Is there a lot of paperwork?
Since it's your adventure, you make up the story points, but to me it seems that all of the Heroes were recruited by their peoples and drawn by Mentor, who in turn had convinced the Emperor (or the Empire sought out Mentor, as Fantasy Kings often seek out wise men for guidance or any advantage they can get). Whether you choose to play your character as some kind of cynical anti-hero, a blindly obedient servant of social/cultural (or economic!) forces, or whatever is your prerogative of course. The game seems to be pushing you in the direction of a "Hero" somebody who is on the side of right, but a little fame and glory on the side can't be too bad can it? No worrying about "now am I chaotic good, lawful neutral or ..." No worrying about whether I'm going to run afoul of some political science major turned activist, etc.
The novels (which are "canon" if you want them to be) give some backstories of some of the characters. The Barbarian is a criminal exiled from his society. The Wizard is a student who lost his master under tragic circumstances. The Elf keeps to himself mostly, keeping himself mysterious, like Legolas in LOTR. The Dwarf is just a grumpy old man. In HQ proper, the EQP and BQP give some backstory which tends to reinforce the earlier notions of what those characters are and how they relate to the societies they came from. Had we gotten a Wizard and Dwarf quest pack we'd probably get more on them too, but for now that's up to you to invent. The name changes imply the character can be what you want them to be. Are all the Barbarians from the same village? Are all the Dwarves from the same family? Is the Elf putting on glasses and a fake mustache and getting back in line after his first run?
It's a fascinating process to try to imagine how it would all work "in real life." At the end of the day though, to play the game you may just have to say "it just works" because "it just does." That can be done without destroying suspension of disbelief. It's still a game with rules and goals that's meant for fun. Having your character have to take naps or starve to death during a quest tends to get in the way for most people, and the same could be said about political debates and philosophizing about class warfare (OR it could be the driving factor in creating quests... maybe the heroes have to protect the striking workers or something, I guess, if you're writing it, go for it).
I much prefer the blank slate approach. That means you start with a generic character and you can develop that if you want or not, it's cool either way.
Even if the GM wants to do some world building (which I have for me), that isn't imposed upon the players. The individual Heroes have as much or as little as the player controlling them wants to give. I haven't demanded for example that my Wizard player has to explain how many years he spent as an apprentice and what rank he has reached, or what he had to sacrifice to get to where he is. I haven't asked the Barbarian what he thinks is best in life. I haven't asked the Elf what his preferences are or the Dwarf if he's ever been tossed. The game simply defines their basic abilities and the rest is wide open, and strictly optional for enjoyment of the gameplay. The EU game gave you a blank coat of arms to doodle if you wanted, but other than asking for your name, that was about as far as it pushed you. You didn't even have to paint the figures if you didn't want to.
I can't help thinking of Shadiversity on youtube here ("Fantasy Rearmed"). But he's not my GM. Even when he's throwing out suggestions like "this is what's realistic for the medieval period" he's not demanding anything, like this is the only way to play a game, just giving his opinion on what he thinks is more realistic. Fantasy tends to take what it wants from the real world and then make up the rest. It's a bit like how comic books present alternate versions of reality which we dive into and enjoy with suspension of disbelief. Batman's Gotham City and Superman's Metropolis are supposedly both based on real life American cities, but each takes a different approach... one is overly dark and dystopian, while the other is overly bright and nearly utopian. They each emphasize (or over-emphasize) aspects of real life, and while each expresses a truth, they don't give the whole truth. There are also different presentations, giving different interpretations of Batman and Superman, with different levels of heroism for each. So maybe you write it as the Empire being a cruel dictatorship and you're fighting for them because you've got bills to pay, or you just don't see the common dignity of the serfs. Or maybe you write it as being the bright and great hope for peace, an idealization of anything that existed in antiquity and the good guys are actually good. This goes back to the Orc discussion... are they demonic cannon fodder or poor benighted beings forced into slavery that really ought to be liberated rather than exterminated on the battlefield? Do they have any honor or are they in fact evil mushrooms? The game doesn't give you options, but you can take whatever interpretations you like when you write the story!
But back to the Heroes, the player characters... take the HeroQuest Wizard... is he brave or a coward? Is he strategic and crafty or is he brash and unpredictable? Is the Dwarf greedy or is he generous? How you play them is another part of how their character is developed, but that could change on a dime depending upon how the quest is going. Ooops, my old strategy of dashing into each room and attacking every monster isn't working, maybe I should do some more searching... or oops, my searching for treasure constantly is costing me in terms of body points and wandering monsters maybe I should search for traps and get into position first... so many possibilities!
Using the Warhammer world as stone tablets that your HQ game has to be sculpted to fit into is one approach. I prefer to use it as a toolkit, a grab bag, or box of suggestions... I'll shake it and rifle through it to see if I can find something that I like, and I'll dust it off and use it, or take those found objects and craft them into a part of what I already have going on my HeroQuest pile. I don't see that as a betrayal to the original creators or as an insult to the hardwork of those who have developed the WHF world, or those fans who feel like they're keeping it "alive" today. It's just a tool. But whatever I'm doing, I'm perfectly capable of playing a game with someone who has a totally different idea. Maybe I think the Wizard should be one way, and they think he should be another, but within the basic rules there's a freedom for the person controlling him to use him a variety of ways. If Warhammer says "he shouldn't be able to use that type of magic!" or "that weapon doesn't work that way!" well, who cares, unless as the GM I've decided to hold myself to that arbitrary standard. The parts I'm using are the ones that are relevant to the gameplay experience. There are games out there that simulate mowing the lawn, but I'm not interested in playing that aspect of life here. I can safely assume that if the Heroes have lawns, they are probably being maintained somehow, but if its going to distract from the game I'm trying to have, I'm going to just ignore it.