IIRC it's been done before, but usually in shorter-length works.
The most obvious that springs to mind is the work of H.P. Lovecraft and Robert E. Howard, whose shared ideas sort of swam together ... I wouldn't say they were a hard-facts SETTING, but it did lay the groundwork of the mythos and later authors still work in that shared space.
Thieve's World ... hrm.
It's not unheard of, but not terribly regular. I'd say that sort of thing tends to come together when you have people who are good/close friends who are writers who seek one another out for creative inspiration. Dunno as you find that too often, anymore.
I doubt it would happen with, say, a setting that has been in print already. If nothing else, there are few authors who would want to work in another writer's setting. Most folks have something they think they can do better or would change about another author's setting. And far far fewer authors would be interested/willing to have people mucking about in their creations.
--fje