Mages - no comments needed.
Goblins, gargoyles, golems, titans - creations of mages)) in Heroes... so they are definitely from different worlds)) but as created beings, they fit) IMHO.
Djinn - a spirit from a bottle that grants wishes)) why shouldn't they be with mages? especially since they live in the desert)).
Rakshasas... also demons, albeit evil ones (in Indian mythology), but still magical) in many games, they are creatures from other planes, sometimes they are even summoned) here, it could be the same)).
If you analyze everyone based on mythology, there will be inconsistencies in other factions as well)) and some don't even exist) like the Elves, Necromancers, etc.