One thing I will say is that I actually don't think the game does a good job of immersing you in the setting because having played through as much of act one as I have, I don't really have a clear idea of the setting.
I am in 100% agreement with this. I came into BG3 and WotR knowing more about the Forgotten Realms setting than I did with the Pathfinder setting due to prior experience with 5E tabletop. I did everything I could in BG3 EA and finished WotR, and came out of the experience with a FAR greater understanding of the Pathfinder setting than Forgotten Realms, because the story and the party members of WotR are clearly written to interact with or add to the setting itself.
BG3's overall presentation is damn near 100% seemingly self contained plot with only vague references to the larger world in comparison. The party members don't exactly help, only Gale seemingly talks about the setting in broader terms that is less directly related to his personal subplot (namely when he talks about the Yawning Portal in Waterdeep and actually explaining what Mystra is). The mention of the Yawning Portal and Undermountain holds special significance to me as someone who is participating in a tabletop campaign entirely revolving around them - but it is utterly meaningless to everyone else without additional comparative context that the game can't really provide, when the context for many other things in the setting can't be observed within BG3 as it currently is.
Admittedly, this may change later in the game and we reach an actual city for once. I really hope Larian understands that they have to knock the presentation of the city of Baldur's Gate out of the park. Or else we may be about to witness the cRPG version of 'HD towns are hard' that FFXIII got absolutely slammed against a brick wall for back in the day, that cast a dark pall over the entire series for a better part of a decade.
It might not even be Larian's fault though. Apparently BG3 is actually meant to be a sequel of sorts to a recent 5E tabletop module that among other things explains exactly why we run into the tieflings at the grove. Though I also think that maybe the game's style of presentation already assumes that we should know a lot about the overall setting already, which I think is a mistake - but I'm not sure how to go about addressing this, other than a proposed idea to overhaul the opening entirely in a way that actually gives us time to familarize ourselves with the setting instead of essentially throwing us in-media-res as it currently is (and/or make it so that the mindflayer ship sequence isn't actually the start of the game).