In KH 1, they likely didn't have the resources to do that much, because prior to closing the door they had their hands full JUST protecting Traverse Town. It's also worth noting that (for them) it'd take a while to get there because of the large amount of heartless ships en route. Though they did end up helping protect some areas of Hollow Bastion after the Ansem Riku fight, and found Maleficent's hidden stash.
KH 2 I don't really have a solid argument. SDG try to adhere to the world order more than other characters who care less about establishing it, and it's clear that Leon and co. know about other worlds by this point. My guess is that it's too dangerous even for them to join the assault on the organization's stronghold, and everyone already there had their own role to play.
There is honestly very little precedent for the Keyblade Graveyard restricting itself to only keyblade wielders,
Maleficent and Pete arrive there to watch Luxu and the foretellers gather around the black box, which might go nowhere in KH 4
But given that it was a pretty exclusive event (seven lights, 13 darknesses) it would've likely led to more casualties than necessary on the heroes' side.