Every single lore figure defeated in Warcraft 3 fell to another hero or two accompanied by 10-25 warriors, archers, casters, and healers.
WoW just has a first person narrative instead of a third person. It'd disingenous to imply that a series whose first three entries were RTS games is breaking with tradition by having multiple people kill off main characters.
I'm not taking you to task, it's an easy way to look at it. And by no means has every story told in WoW been solid, or made sense, or been properly characterized (though the same could be said of WC3 as well). But the major plot point that's hidden by a spike of ice in your screenshot didn't even exist until WoW. They're not going to end up with no story just because the RTS plot threads have been tied up.
In addition, I think storytelling paradigms have shifted significantly since WoW started. Vanilla was a highly static setting. It was a sandbox with no overall plot thread to tie it together (which isn't to say it was bad, just different). Burning Crusade had more of a plot, but I think Illidan and Kael'thas got a bum deal compared to how they could've been handled (or at least made more believable as villains). With Wrath, there's a major narrative throughout the entire expansion that comes through a lot more clearly.
In Cataclysm I am most looking forward to goblins, due to my lust for bad girls, green skin, and pointy ears. I regret nothing, and have no shame.
EDIT: this is the best avatar ever, I swear