I just recently 100%'d New Super Mario Bros. Wii, and just today started making minor edits to some of the levels, just to give it a liiiiittle bit of tightening. So while it's what's in front of me,
Why can't Yoshi go with Mario after they finish a level together, when he could in Super Mario World?
The goals in NSMBW are followed by castles, unlike the ones in SMW.
Why can't Yoshi enter castles in Super Mario World/NSMBW when he could in Yoshi's Island?
Yoshi dated a castle sometime while Mario was growing up, and it didn't work out, and he's still bitter.
Where were the Koopalings between Super Mario World and NSMBW?
Training with Kamek to become proper Magikoopas. It's not said where their wands came from in NSMBW, so they probably weren't stolen. And NSMBW happens to be the first game where the seven original enfantes terrible show up alongside Grandpa. As for why they didn't use magic in Superstar Saga... your call