Fascinating discussion.
Apologies that my own thoughts are not as well-ordered as many on here, but here are some scraps of thought.
I think the lack that Tolkien felt, which drove him to create his own world of myth, can be found in that word he uses, "majestic." The mythology I think of as typically English may be fascinating but it has a certain unsophisticated and rustic atmosphere: Robin Goodfellow, hobbyhorses, welldressing, The Green Man, Robin Hood, and so on. Perhaps it has become that way because it has survived in the hands, as Lalwende says, of the uneducated, or perhaps it was always like that.
Is there a case to argue that the Lord of the Rings starts out in this kind of "English" environment - not just the Shire itself, but most of the ghouls and creatures that the hobbits meet before they get to Rivendell - trolls (of stone), barrow-wights, Tom Bombadil, Old Man Willow - all "fit in" with the bucolic unsophisticated character of English folklore? There are hints of grandeur, both good and bad (Aragorn's stories of the First Age, the Nazgul) but it is only as they approach Rivendell and travel beyond it that this grandeur becomes actuality - Moria, Lorien. A parallel with Tolkien's own journey from English traditions to a grander personal mythology? Or, as davem suggests, a search back to an Indo-European-type ur-mythology?
The other English tradition, the Arthurian mythical cycle certainly has more of the grandeur and majesty that Tolkien was seeking, but perhaps he felt it was too Frenchified?
Another thought. I don't really know the Kalevala, but I do know the Norse mythical epic tradition. It has majesty of sorts, probably more so than English myths, but it is very grim and dark, I certainly wouldn't call it "fair and elusive". And it has just struck me that Tolkien chose to eschew almost completely in his own work one of its defining features, that of blood vengeance. (In the same way that he chose to eschew a vital part, as Lalwende points out, of the English tradition, ie crime and sex...)
And another...
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The cycles should be linked to a majestic whole, and yet leave scope for other minds and hands, wielding paint and music and drama
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Very interesting. I wonder if Tolkien felt this ever happened? I always thought that the musical equivalent of Tolkien was Vaughan Williams, myself...