The thing that bugs me the most about the game is that we don't get a good sense of what our character SHOULD know. I don't expect the game to lay out everything about the setting from the start, but I do think that as a player, by this point in ACT ONE, I should grasp what's normal for the setting and understand a bit about it. Your point about the pantheon for example. It would be bad writing to just dump all the information about the pantheon all at once for the player. But we encounter a lot of Selune-related things in the game. It'd be nice to know if she's a common goddess that most people would know about, or if she's obscure and it's meaningful that there are a lot of temples to her in this region. It doesn't even have to be conveyed directly through the game. We actually get a good example of another neat way games can give exposition via a conversation with Lae'zel. I can't remember the exact wording, but when we talk to her, our dialogue choices subtly get across that githyanki are rare, and encountering one is unusual even if your character HAS met one before. That's a subtle type of worldbuilding that only games can really give. Compare that to Shadowheart's revelation that she's a Shar worshipper. The reaction options we get there all seem to assume we as a character at least know the common, for lack of a better term, "pop-culture osmosis" opinion of Shar that would lead our character to have an opinion of their own about her.
To bring up another example you mentioned, that "lord of murder" chant. That's purposeful foreshadowing, giving you infomration without context, so that when we do get that context later, we have an emotional reaction and a sense of catharsis brought about by realization. One equivalent of that in this game would probably be the way our character is saved from falling out of the Nautiloid. We don't know why, but we're not supposed to know, specifically because learning that is meant to create a reaction. To contrast that...are the hells a common problem in this world? Based on context clues, I would assume that yes, hell and devils are a significant threat to the world, even if they're a threat that not a lot of common folk would need to worry about consistently. To give an example of when the game does this sort of thing right, we have Aunt Nettie. She's a hag. The game doesn't tell us what a hag is, but it doesn't need to. It's clear from context that a hag is the setting's take on the idea of the evil old witch that will make bargains and hand out curses. I assume there's more to them than that, but I don't need to know anymore to understand her place in the story, and if I want to know more, then I'll go look it up online.
You mention that the idea of expecting someone who wants to know the lore of the world to look it up isn't a bad thing, and I agree. But the question is why they're looking it up. If people see hints of a bunch of things that are extraneous to the experience of the game and think "oh this sounds cool, I want to learn more" then the game has done a good job, it's presented a cool setting that people care about. But if a decent chunk of players, particularly players new to D&D or just the setting of Faerun, feel the need to look stuff up just to understand the story being presented to them, then the game's writing has failed. I don't feel interested in the setting, I feel detatched from it, and my character feels detatched from the setting as a result.
