Just to add on, since Sal beat me to replying while I was tracking down this video, I definitely think that is a valid concern that was more and more on my mind the longer we worked on this. (We started working on this project as a joke and thought it would take about 3 months, but we liked what we were making and just kept adding to it and it ended up taking about a year and a half.) Then, about halfway through working on the project this Wired video with Jeff Kaplan came out and where he literally said "What's fun about Overwatch and the characters is that they belong to you guys and you can do whatever you want with them." And having that super explicit endorsement of fanwork made me feel a lot more comfortable about the likeliness of us having any issues.
So I guess my advice would be to try and find that for whatever you are thinking of making. See if you can figure out what is the creators' general stance toward fanwork is and go from there. If you're super worried, the Organization for Transformative Works, the parent organization of Archive of Our Own, has a legal committee and they can probably give you better advice than we can.