I am a novelist naturally -- give me any old spindly idea, and I can work it up to 120,000 words plus.

For short stories, I tend to use one of the three milieus I've developed for novels and try to find a tiny little window into it and into the ongoing story of one of its denizens, a snippet that can stand alone at 3000-8000 words.
A well-developed milieu or world is a plus -- it should yield you endless stories of varying lengths. So develop away. Do a few (or many) pages for this story. Then, if you like the world, add onto your background material as you get ideas for it. Your worlds are your idea hoards and story generators.
What I find hard about fantasy/SF short stories is not so much developing a world as using it once you've got it. At short lengths, you have to quickly immerse the reader both in your setting and in your story, and you have to do it without jarring her out again with infodumps. How hard this is depends on a couple things:
1. Is your POV character familiar with the story world?
2. How idiosyncratic is your story vocabulary?
A POV character familiar with or native to a world will not observe it the way the reader does, as a stranger needing explanations; the outsider as POV character is a way around this, but that trick can't work in a story without outsiders.
If your world is full of elves, dragons, knights and orcs, your reader will have an easier time settling in than if your world is full of Gols, Pikhs, ranyi, and jormin'ghats -- he has some idea what the elves and dragons are, however different yours may be from the norm. But what are these other things? Yikes!
Is a well-developed world a solution to these problems? I'm thinking no, not directly. But a writer confused about her world
will have a harder time keeping the reader from getting confused.