I only wish there were more! I read A Sorcerer and a Gentleman and The Price of Blood and Honor first, and only got my hands on A Well Favored Man years later -- the end of APofBH reads like there ought to be far more story there, because there's a huuuuuge gap in time between where that novel ends and the events of A Well Favored Man begins. HUGE. Gaston and Freya are major characters but haven't even yet admitted they have anything resembling romantic feelings for one another yet type huge.

Oh, and to give an answer to the actual question you asked: I've heard fantasy of this type described as 'mannerist fantasy,' and that's how Elizabeth Willey actually describes her fiction on her website...which unfortunately no longer seems to exist.