The World of the Dark Crystal is the Homeworld of the Lords of Change.Just look at the physical appearances of the Skeksis and compare them with Tzeentch's Lords of Change from Warhammer. They also both have a fondness of court intrigue and plotting. It also wouldn't be too hard to see that the planet is one within the Eye of Terror.
The Skeksis discovered wormhole travel at some point in the past.This was obviously when they were far more numerous, and was no doubt one of SkekTek's masterpieces: unfortunately, the Skeksis pioneers that entered the wormhole never reported back, so the Emperor had the project discontinued. However, unbeknowst to him, they actually had arrived on a planet in the Farscape universe. Pausing only to officially rename themselves the Halosians, they then raided the local spaceport, took the best-armed of all the ships docked there, and flew off into the Uncharted Territories to carry on with their lifestyle of conquest and backstabbery.
The Skeksis did some extensive remodeling to the castle to cover up the old styleThis is what falls apart off the castle at the end
The final shot of the castle surrounded by lush landscape is years after the climaxFor those of us who don't buy the vegetation suddenly appearing outside.
The Ur Skeks are K-Paxians.They left the planet via beams of light at the end...
The world of the Dark Crystal is in the Alpha Centauri star system.Due to the fact that the three suns bare a vaguely passing resemblance.
The Podlings are the descendants or ancestors of Fraggles.They live underground, they're tiny, good-humored, fond of food and song, and created by Jim Henson! Bam!
The Gelfling are a result of breeding between elves and halflings.Just look at the name of their race.
There are still some Skeksis and Mystics on Thra after the film's end.One of the episodes of Jim Henson's Creature Shop Challenge has contestants building Skeksis that were exiled from the castle centuries ago. If there really were outcasts who pre-dated the Chamberlain, and any of them survived until the Great Conjunction, they may not have had the chance to return to the castle in time to be there for the Crystal's healing. Their Mystic counterparts, in turn, may have left the Valley to become solitary hermits at the same time the corresponding Skeksis was exiled: something the Chamberlain's counterpart would also have done, had their community not known the Conjunction was imminent.