But personally, that's not the route I would go.
I'd suggest this: there are rules for how technology will work, and for laws of physics and nature. So this limits things like high-tech and magic.
But physical traits? As long as they fall within those laws of physics, there's no logical reason why they shouldn't work anywhere else. Certainly if a PC says they're an otherwise normal human but with wings (and the power of flight) that might not work so well in a world with physics like that of our own earth, but generally speaking, the guideline should be the physical laws themselves, and not a concern that somehow having one PC sporting a pair of wings while the rest don't would in some way ruin 'game balance'.
When you're talking about games like Lords of Olympus, we're in a whole other ball park of power, and of costs. The least important 'cost' in Lords of Olympus is 'points'.
I get the concern people have with game balance, but there are many kinds of 'game balance'. In my campaign, if someone told me "I want to come from a world where people have wings and can fly", I would be pissing my pants with joy. Yes, I would tell them, absolutely. I would give it to them for free.
Because the relatively small advantage that would grant compared to all the possible disadvantages: sticking out like a sore thumb, being hunted by shadowy government authorities on modern Earths, being immediately identifiable, awkward fashion problems whenever they need clothing or disguises, social mockery, not registering as a human under scans, potentially having more trouble on certain worlds with strict physical laws than normal baseline humans do, all kinds of shit!
I wouldn't stress the fact they could fly. Any half-clever Amberite/Olympian/whatever can figure out how to fly pretty damn quick without having to spend a lifetime with feathers on their back. Never mind the ones who actually pay for metamorphosis/shape-shifting, or sorcery of some sort. Those real point-cost powers? Being able to do all kinds of stuff is only half of what you're paying for; the other half is for being able to stop.
You have to change your scale when you play Amber-type games. Having wings in D&D would be HUGE. In Amber or Lords of Olympus? It would be an aesthetic choice akin to a slightly embarrassing piercing; the cost would almost certainly outweigh the value even if the player didn't need to spend a single point to get it.
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