I think Lion of Macedon is one of DG's Finest works. It was a powerful story and afterwards I was left hoping that Gemmell would write more HF.
I enjoyed Lion of Macedon too. But it does have a fair amount of supernatural content.
let's be honest thought his fantasy was heavily based on historical events or indeed set in historical milieus
Agreed. My sense is that once Gemmell was established in the fantasy market, it wouldn't be a smart move professionally to switch to historical fiction. So he always made sure to incorporate some supernatural or fantastic elements into what is essentially alternative history. Some of us may move freely between the genres, but my impression is most fantasy readers have zero interests in historical fiction, and rarely read any books outside the fantasy genre. And furthermore, fantasy today is a much larger market than historical fiction. That's why I'm surprised - moving from fantasy to historical fiction seems to be a bad move commercially these days.
I'll give an example. Author Christian Cameron is well-regarded in the historical fiction genre. He's written over 20 novels in the genre, and they're well-reviewed. His most popular historical novel, Tyrant, has 1,018 ratings on Goodreads. A couple years ago he released a fantasy novel, the Red Knight, under the pen name of Miles Cameron. This was his debut novel in the genre, so he was essential a new writer to the fantasy market. The book already has 6,746 ratings on Goodreads.
It's not clear if Goodreads users are representative of fiction readers as a whole. Maybe they're skewed to fantasy fans. Still, that's a pretty remarkable disparity. I don't think it's going out on a limb to say that for the kind of fiction Cameron writes, the fantasy market is four times larger than the historical fiction market.
Gemmell's case is different, as he already had a loyal and large following from his fantasy novels. Still, I think moving from fantasy to historical fiction is an unusual decision.