I agree, the game definitely has some exposition problems. The setting, current state of the world and several of the characters could use more explanation.
I know there will be some who say just read the latest D&D lore, and I am/will be doing more of that. They should still be able to make it more accessible in an immersive/cinematic/interactive way. There's a lot of gods and races that I don't know much about and think should be explained better in the character creator and possibly in a codex like other games. A "More info" pop-up in the character creator (maybe with some illustration or simple animation) for each race and god would help. I think there should especially be a better introduction to the nature of the gods, Hells and Tieflings. Tieflings look pretty evil and according to lore are "generally distrusted", this feels only subtly mentioned.