In fantasy worlds, there's likely less problem with the formulation, as there's just less going on with the gods in question. I mean, sorry, David, but you just can't generate as much mythology as an entire culture of people. Nothing personal.

Naturally, there IS a problem with people encountering fantasy gods and then assuming that the degree of depth they see in those characters is even vaguely comparable to what's going on with actual polytheistic figures. (Hint: it's not.)