During a recent interview, Kevin Feige talked about Doctor Strange and its villains, as well as the lack of sorcery in the MCU until this point. Most interestingly, he also teased bigger threats to come, threats that don't concern just Earth or even just this Universe.
Feige said that they went against the comic books this time, because it was too obvious having Baron Mordo being a villain for the first Doctor Strange movie. Even the character's name suggests that he is an evil person - so, this time around, he is actually an advocate for Stephen Strange, one who sees greatness in him and who convinces the Ancient One to accept Strange as an apprentice:
[Mordo] is Strange's advocate in the beginning of the movie. The Ancient One doesn't necessarily see the potential in Strange that Mordo does, and Mordo is the one who talks the Ancient One into allowing him in. And for this film, he is a partner of Strange, and he is a mentor to Strange. You know, that was something we wanted to play against in the comics. Because in the comics, for as unbelievably creative and full of imagination as they are - we are desperate to recreate in cinematic form - there's some things that are too obvious for modern day audiences. The jealous rival named Baron von Mordo, who turns against him when he shows any signs of talent - we specifically didn't want to do that (via CBM).
Kevin Feige also implied that the sorcerers of the MCU have been present all along, even if they haven't shown up in any movie until now. According to him, it’s the job of the regular superheroes to stop threats such as aliens, evil robots, or Nazi organizations. The sorcerers of the MCU have bigger threats to deal with. According to Feige, heroes like Doctor Strange have to keep vigilant or the entire reality could be wiped out.
So Mordo and the Ancient One couldn't have been bothered with something as trivial as a Chitauri invasion, because they had to prevent the destruction of reality as we know it by much bigger baddies:
There are people inhabiting the same world that are stopping buildings from falling down, robots from doing this, aliens from doing that - these people in this movie are stopping inter-dimensional forces from wiping out all of reality. So although it doesn't necessarily come up, we've always assumed that the sorcerers have bigger fish to fry when they hear there's something in a city or there's a bank being robbed. They're not thinking about it. They're thinking if we don't keep vigilant our sense of reality will disappear, and there won't be a bank to rob and there won't be a city to be conquered (via CBM).
So what kind of villains are out there, and who can make Thanos look like small fry? This is when Feige teased Dormammu:
What we’re playing with in this world is that there are dimensions. That the other dimensions are not just parallel realities -although some of them are – but [there is the] Dark Dimension, where Dormammu inhabits. There are dimensions that are so mind-bending that you can barely perceive them (via CBM).
