This was because they did not have the real understanding of the Undead World to master the essence of its laws. If they had entered the Undead World long ago, they might have become Undead Lords in the Sanctuary-realm.
However, the legendary Undead World was a blatant place where only the fittest survived. The only way to survive there was by power. The Undead creatures swallowed one another's soul fire, the Undead Lords fought over territories, and the defeated could only lose their soul fire. Hence, not every Undead creature from Anril would have the courage to enter the Undead World. Even if they had the ability of the three Undead Lords from the Shadowglen, they would not be sure that they could have the confidence to survive in the Undead World.