The main reason it's a missed opportunity is precisely becuse it's an opportunity to build both their and your character. The same goes for Wyll. He can talk about his perspective of Baldur's Gate as someone high class, and depending on how you're roleplaying your character (assuming they stick with the idea you're a Baldurian by default) you can compare and contrast your feelings over the place. Maybe you hate Baldur's Gate, maybe you love it. If you're an urchin or an artisan, then that's an opportunity for you to clash based on your different upbringings and perspectives on the city. It's an opportunity for you as the character to better define your own history and inner life. And for Asterion, they could have it be that he's unfamiliar with aspects of Baldur's Gate that he probably should know, and it's an opportunity to subtly set up that he's not who he says he is. There's lots of opportunity there that's so far left untouched.
Also, I heartily agree with you about more people asking about us. I loved how they did it in PoE.
No disagreemements here, a conversation about living in Baldur's Gate can flesh out both characters and showcase their different perspectives on life. The question is: would that conversation happen in the first place?
My main concern in this is that I don't want the dialogue to sound unnatural (it's also why I'm against most expository dialogue). The standard practice in RPGs is dialogue-as-a-questionnaire: you go down a list of questions and the NPC diligently answers every one of them, no matter who they are and what circumstances surround them. You can chain these questoins with little to no transition or flow between them, and the NPC will not bat an eye. I don't need to tell anybody this, but people don't talk like that unless they're on a job interview. Things are usually better during quest-related or other important conversations, but the regular unscripted dialogue suffers badly from this. Just look at Shadowheart's repeatable dialogue to see what I'm talking about. This is a very old issue, and I'll keep complaining about it until videogame writers learn better.
That is why, in my opinion, it's important to examine how a potential conversation could start. A clash of personalities, lifestyles, and values can happen during any kind of conversation, so we should pick those that won't make the characters sound like robots. In my previous post I've outlined why I don't think a conversation about living in Baldur's Gate can start in a natural way, so I don't consider a lack of one to be a lost opportunity.
And
robertthebard is right too of course. We don't know what kinds of conversations we'll get at release, and what is already there will likely get some polish. It's all up in the air.