The problem is that
Space is big. You just won't believe how vastly, hugely, mind- bogglingly big it is. I mean, you may think it's a long way down the road to the chemist's, but that's just peanuts to space.
This gives space opera the same problem as epic fantasy: a threat big enough to endanger an entire world is big enough to endanger your suspension of disbelief by making the world look like cardboard. Holding off on the actual threat and building up to it with bridging conflict would help here, too, and spending a long time on the story to let you have scope for many settings. It does not guarantee it, though -- both Lensmen and Foundation were multi-volume and lacking vividness of setting.
But any threat that threatens quadrillions of people -- what sort of threat would do that? And how do you personalize it? And how does any character, even a leader, act meaningfully against it? How could you meaningfully lead any structure that large? Michael Flynn's Spiral Arm works with smaller threats but then a much larger universe. The issue of to what extent the Ardry actually controls his League is brought up; basically, he controls where his Hounds actually are working at the moment. It's still space opera.
Come to think of it, Poul Anderson's After Doomsday also handled the larger scale with action and adventure, and no cosmos-wide threat, because what could threat the galaxy, even? Humanity, on the other hand -- the larger scale was a threat to its very existence.