I'm aware of them, though I've never seen quite what you're describing. All the real examples I can think of come in the form of encyclopedias, history books, or similar companion books rather than an attempt at a comprehensive guide about everything ever pertaining to the world. The closest approximation to a comprehensive and exhaustive guide to a fictional world that truly exists would probably be fan run wiki sites.
Anyway, whatever the actual form they take, I'm with Minibit on how they apply to roleplays, especially for original worlds. Even if it's not vital information needed to play, that huge glut of stuff being thrown in one's face tends to be off-putting. Regardless of the disclaimers put up about how it's not necessary to read it all, there are lots of people (myself included) who won't join a roleplay without reading all the info provided; my reasoning is that I could horribly contradict things or make something that doesn't really work in the world if I don't read the info given, but there are others that exist. Speaking of contradictions, there's also the fact that if someone has written a freaking book, literal or metaphorical, about what exactly exists in their world, it feels like there's not a lot of room for player freedom and creativity there. That's a large part of what turns a lot of people off from roleplaying in existing book/movie/show/whatever worlds, and it would apply to an original world with a book worth of information too.
The only times I've ever seen world guide sort of books created and not seem frivolous have been when they're more for collecting existing information and filling in some gaps rather than fully explaining a world that people are not already extremely familiar with. For example, The Discworld Companion for the Discworld series was first made as an encyclopedia for a world that already had 16 books written that used the setting, with some updates every once in a while such that the most recent edition compiles the world information from 39 books. The bulk of the content is stuff that was already in the books, just compiled in a single volume in an encyclopedia format. Making a comprehensive guide before you've actually put some serious wear and tear into your world seems like a fine example of putting the cart before the horse.
