Yeah, no. The NF campaign feels like it is trying to resolve several unanswered questions from the BfA storyline, rather than approaching the story of Shadowlands proper. For starters, NF has (so far) the least interactions with the other covenants, which make it feel quite isolated from the rest of the story. Even the part when they send you to the Maw/Tor'ghast feels like tacked on and put there purely out of gameplay needs.
I mean, someone in the writing team had to come on record saying that the key that keeps the Jailor locked (omegalul) is kept by the Winter Queen, in order to try to stitch the NF story into the general narrative. For what we know so far, there is no reason for the key to be kept precisely in Ardenweald instead of, say, Bastion.