Dragon Commander offered the most information on how undead originate in the Divinity Universe, through one of Yorrick's lectures. But even that didn't do much more than split the undead into naturally occurring and raised by magic.
During Dragon Commander's period, I believe the only kind of undead around were the skeletal undead, with a certain decision having the potential of creating the first vampire.
Divinity 2 was, I believe, the first introduction to naturally occurring undead, as well as a decent explanation of ghosts.
And that is most of what I know about undead lore in the Divinity universe, but I'm hardly a lore buff.
So, I have to somewhat agree that undead origins and types aren't really explained in previous games. We'll just have to see what D:OS 2 offers.