American Mythology Setting (Help is welcome!)

[Ninjadeadbeard]

Maybe the big dudes are old, and no longer able to save the world. Maybe they don't care about the fate of the world, preferring instead to delve into their own mysteries and projects. Maybe they just can't come together on anything, and that's the only thing keeping them from doing real good in the world. No matter what, at the end of a campaign these huge, mythical figures need to be the ones patting the players on the back, not the other way around.

I think the Gentlemen are more likely to work the street-level of otherworldly horrors. They're legendary, sure, relative to the common man. If the PC's are limited in level advancement (like an E6 campaign) then they might not appear at all. If the PC's are mid-level, the Gentlemen are either deadly rivals or spirited competition, opening up some interesting RP moments depending on the group of players. And if the PC's work hard and make it to the highest levels of power, then the Gentlemen serve more as old friends or contacts since they can't directly combat the party.

I think your idea of personal preference works. The Gentlemen are simply mid-level NPCs fighting the ground war in a cosmic conflict, whereas the PCs are potentially the Delta Team of the Mortal Plane, if they even partake in such adventures at all. Otherwise, if the PCs go for a different style of adventure (less Cthulu and more Wild West) the Gentlemen are nothing more than shadows.

EDIT: Oh! We could always use them as the Standard Adventuring Party, like how in the sourcebooks the examples are usually "Mialee does this" or "Tordek wants to buy that". Worse comes to worse, the Gentlemen can be corrupted by foul magicks and made to be the Big Bads of a campaign.