Hi, I've just found this thread and I wanted to share my thoughts on the question of whether a character can exist separately from the setting (yes, I know it's long overdue, but I can't help it, having only now found my way here). Because I believe it is, in fact, possible for a character to exist outside a single setting, under two important conditions:
1. They have to be designed to operate separately from the setting. If you want to use your character in several settings, they must be conceivably able to act beyond the bounds of the setting they're introduced in.
2. They must be a static character. That's because the character development is inherently related to the plot, and the plot is inherently related to the setting. And while I think it's possible to carry over character development between settings, I don't think it should be done, because it would inevitably result in a lot of confusion on the readers' side.
A few of my characters are shared between all of my main universe's settings, and while my settings are of course designed to accommodate them, I believe a character like Death could conceivably fit into pretty much any story with fantasy/supernatural elements.