The current Marvel series Thor: God of Thunder is a good source of ideas for a multi-pantheistic world.:
Throughout the ages, the gods of the Marvel Universe have been vanishing, their mortal worshippers left in chaos. NOW! the Mighty Thor follows a trail of blood that threatens to consume his past, present and future selves. The only hope for these ravaged worlds lies with the God of Thunder unraveling the gruesome mystery of the God Butcher!
For Mystara, with a relatively stable set of Immortals -- perhaps a Butcher of Immortals is something that the Hierarchs have all heard rumors of. Perhaps it is something that the old, true gods -- or merely the generation of Immortals long past -- had taken care of.
In my case, I'd certainly tie it to the absence of the Olympians, and perhaps suggest why there are Immortals that take the name of gods from other pantheons: the Old Ones are still locked in battle against the Butcher of Immortals, but their source of power and meaning -- Mystara -- must still move and turn with time and the seasons. And perhaps the next generation of Immortals will find the key to defeat the Butcher once and for all.