The mythology of creatures in Heroes (Goblins and Co.).

The only thing I don't like is that there's no connection between the worlds of the 3rd, 4th, and 5th games (except for the "end of the world" storyline in the 3rd game).

As far as I know, there is a connection between the 1st and 4th Might and Magic games. However, each new installment needs to be significantly different from the others, so it doesn't end up feeling like just another expansion. That's why they come up with these apocalyptic endings, or "many years later..." scenarios, or create a completely new universe, as in the case of the 5th Heroes game.

In the first version of the 5th game, it was written that gremlins were created as a result of mages' experiments on goblins.

That's correct. However, gremlins are not related to the orc race. They are completely different creatures.