Ironically, I think the companion character that gives you the most background on the setting is Lae'zel. She gives you a very evocative description of what the astral planes and life as a Githyanki are like. But I don't recall being able to talk to either Wyll or Asterion, or Gale about where they're from or what the world beyond the area we're in is like. I give Shadowheart a pass because she explicitly had her memories erased, but what's the excuse for the others? I should be able to ask them about where they're from and what it's like there. Part of the point of companions in these games is that they give you an opportunity to learn more about the setting you're in. In Dragon Age: Origins, you get to learn about Orlais and Antiva from your companions, you get to talk about what life in the circle of Magi is like, you get to learn more about the Chantry, all by just talking to your companions. They're able to teach you more about the basic aspects of the setting which otherwise you might not have been able learn. That really feels like it's missing with our current companions. This is act one of the game, we should have a general sense of the world by about the middle of it. Instead it feels like we're going to be experiencing the opposite; a whole lot of weirdness front-loaded into the first act and we don't see any sort of "normalcy" until act two when we're in the city of Baldur's Gate. And if part of their goal with this game is to appeal to people who aren't already fans of the series, that is the wrong way to do this.
I've also mentioned in another thread that the story of the game as presented kind of disinsentivises you from getting invested in the area you're in. With maybe the exception of the cult of the absolute-and even then it's iffy-none of the people you can form bonds with in the area are really very tied to it. Tieflings want to leave, smugglers want to leave, the druids want everyone else to leave, including you so if you sympathize with them then explicitly you're encouraged to move along and not come back. Halsin goes with you if you want him to, same with Volo and even if he doesn't go with you, he doesn't stay in the area. The game as it stands is really pushing you, telling you that everything of interest is in Baldur's Gate, which means that you're going through the beginning portion of the game actively being encouraged to feel attatched to the setting itself. Yet we're given basically no concrete information about what makes Baldur's Gate special. We know it's a big city, but that barely means anything. Hell, we have someone from Baldurs Gate and someone from another city, that's a prime opportunity for Larian to build the setting by presenting us with two different cities with two different personalities that we can learn about. But we don't learn about them, the opportunity is squandered.