Legally speaking, derivative works for a franchise may be made by third-parties, provided its copyright holder gives express permission to the public to do so.
Like Drake, Bigode and monhan stated before me, ZUN's Do's and Don't List for derivative works is not that overtly different from the Terms and Condition's imposed on Doujin Circles working on any other corporate or privately owned media, be it any of the anime or manga whose derivatives are released at Comiket or indeed, the ever competitive Volcaloid, Idolm@sters or Kancolle. If it has been represented at Comiket, it most likely has just as much freedom as Touhou!
That's just the legal scenario though. The largest part of 'freedom' that Touhou has is felt through its large numbers of vaguely outlined characters and its very simplistic lore. Other series also have vague characterisations, but Kancolle and im@s are perhaps the closest to Touhou in this regard, Kancolle circles being limited by their whims to ignore or follow historicity and symbolism, while im@s ones having a free hand beyond what the girls are painted out to be.
My experience with Vocaloid is shallow, and limited to Gen1, but do they even have any form of canon?