I feel those characters, like the horror guys like Dracula and Franky, don't really fit with the Marvel display given they are licensed characters that have their own story outside of Marvel. I know they did some crossovers but it seems weird to me, like if they had a comic where WWII Captain America meet Indiana Jones, that doesn't mean Indiana goes on my Marvel shelf.
Hard disagree. First off, Dracula and Frankenstein's Creature are not licensed characters. Marvel has their own specific versions of those characters that they own outright. Their stories were always set firmly in the Marvel Universe, and characters created FOR THOSE BOOKS have spun off into their own titles (see Blade, for instance). Dracula, most especially, has been an antagonist in major arcs for Avengers, Defenders, Dr. Strange, X-Men, etc., and is still menacing Marvel characters to this day.
Second, while the character of Conan was licensed, his mythology is still firmly part of the Marvel Universe. Ever since Marvel first started publishing Conan, other books made reference to the lore of the Hyborian Age. The Avengers dealt with the Stygian snake god, Set, and all of the Serpent Crown stuff ties directly to that. Kulan Gath, as already noted, was a Red Sonja villain created by Marvel (that they still own the rights to, though they have allowed Dynamite to use the character), that then faced off against basically all the Marvel heroes. Heck, Mary Jane Watson is CANONICALLY a descendant of Red Sonja! Oh, and then there is Shuma Gorath...who has appeared in a freakin' MCU film. Sure, they can't use the name Shuma Gorath legally, but his entire history and interaction with characters like Dr. Strange has him with far more appearances in the superhero books than he ever had in the Conan books or comics.
So, while Conan isn't *owned* by Marvel, his history in the 616 is way too intertwined to parse him out from Marvel continuity. Red Sonja was actually created as a unique Marvel character set in Conan's time, loosely based on Howard's Sonya of Rogatino (that Sonya lived in the 1500's, not the Hyborean Age). It's only due to the fact that there was a loose connection to the Howard character that Marvel doesn't own the character outright, and ultimately lost the rights (I won't bore anyone with the legal tangles that plagued the character for years).
There is absolutely nothing wrong with you choosing to exclude the characters from your display...because it's your display and you can do whatever you want with it. I just think many folks who didn't grow up in the seventies and eighties don't realize how much of the world of Conan was made official history of the 616 Universe, and how it still impacts the Marvel books to this day.