It's not really that strict, there's no "lego world" or single universe or canon. It basically just comes down to each individual thing, what the creators of it felt like doing, and what elements of other things they felt like using. You can tie a lot of it together if you want to, but there's also a lot that doesn't work together. Example: Most lego media shows themes taking place in the time periods of the real life things they're based on, but the games made by Silicon Dreams show them taking place all at the same time on various islands on some sort of lego planet, while Clutch Powers implies they're on different planets entirely.