Obviously there are a number of obvious things that need to be worked out when using an existing setting - mostly regarding tone, the exact themes, and what the campaign will actually be about. Fate Core talks about this to some degree. Creating player investment is a pretty big deal to me now (I have to admit, I'm relatively late to the bandwagon on these topics), and that's really what the collaborative methods are all about (at least to me). When players aren't invested in a setting, and really in the game overall, they just aren't going to be as interested in it. They aren't motivated to try to stay within the bounds of the setting's tropes, tone, theme, mood, whatever. When they're not hooked and interested, they get bored. When a player gets bored, sometimes they get frustrated or start kicking down figurative sandcastles. I've experienced it multiple times, and I've always chalked it up to the player just not wanting to play nicely.
|There's always that one guy|
So I've been thinking a lot about the types of things that Fate Core suggests for collaborative setting creation, as well as other games like The Dresden Files and the Spark rpg (or even games like Microscope or Kingdom, which I don't have yet but have peaked my interest). I've come to the conclusion that all of the types of things that one might define in a new setting - locations, NPCs, factions, issues, goals - should be things the players have a hand in even in defined settings.
On a final note, I completely discount the idea that the players might balk at having to do "the GM's job" in creating setting elements. I've never once met a player who's attitude was, "I'm just here to play a character, I don't want to have to design the setting". Every game I've run where there has been some element the players can create - whether it be mecha, or a military unit, or NPCs that are related to the character - they've jumped at the idea. Before my change of heart on these issues (because I used to be the "It's my setting, your characters" type), I had plenty of players wanting to give input on setting-details.