It is really more or less randomness that those teams have not won a WS recently. They could just as easily have 2 championships a piece.
IMO, the Sox have fielded a contending team, on paper, every year since Henry took over ownership. In some years, it hasn't worked out, but I have felt really good about the team entering every season so far. As a fan, that's really all you can ask of a GM and an owner.
My fear is that either this year or next, we will enter the season knowing that we really don't have much of a chance to make the postseason, unless a near miracle occurs, or unless Henry continues to exceed the luxury tax limits.