Heroic fantasy is a literature of myth making. It's not about telling things the way they are, or even about how they were or might have been. It's about telling, or at least hinting at, the deepest truths and mysteries of human existence. It's about ancient days when human consciousness was first arising and we as a race were becoming something more, and less, than animal. In those days the gods and demons and all manner of supernatural beings were real--at least to the people of those times--more real than they can ever be to the majority of modern humans.
Despite what one of its practitioners once wrote, Heroic Fantasy is not about a world undreamed of. In symbols at least, we have all dreamed of it. I consider thinkers like Sigmund Freud and Carl Jung to be more philosophers than scientists. If you want to understand psychology as a "science" then you might as well ignore them both, as well as many others of the same mindset. But, if you enjoy speculating about the origins of human consciousness and the ways in which those origins influence modern literary traditions (which is not scientific psychology), then both Freud and Jung (particularly Jung) can be useful.
For both Freud and Jung, human prehistory was a time when the seeds of later myths, and of many later truths, were being planted. I believe they are right (though not for the reasons they are often thought of as right). And I believe that one thing that separates great Heroic Fantasy from lesser work in the field is the degree to which a tale taps into the substratum of myth, and the degree to which it evokes the “depth” of prehistorical time in which those myths were arising. (All this assumes, of course, that the writer has the storytelling skills to hold the reader's attention long enough to evoke his or her sense of myth and of time’s vastness.)
Robert E. Howard is perhaps the best illustration of what I'm talking about. Howard tapped into almost pure myth when he created the worlds of Kull and Conan, and when he modified historical ages to provide an arena for the adventures of Bran Mak Morn, Cormac Mac Art, and Solomon Kane. There is an underlying coherence to Howard's fantasy worlds. His mysteries are shrouded in the web of ages but when one reads of his green-walled ruins and his leftover denizens from elder races one feels the living power behind his craftings. One feels as if there is something more there behind the stories, something that is real, or should have been real. It’s much the same feeling one gets when swimming and something powerful passes by just under the surface.